Question: The expected return on a portfolio is 11%, with variance 22%. The beta of the portfolio is 0.8. The expected return on the market index

The expected return on a portfolio is 11%, with variance 22%. The beta of the portfolio is 0.8. The expected return on the market index is 10%, with variance 12%, and the risk-free rate is 3%.

What is the M-squared measure, the Sharpe ratio, the Treynor ratio, and the Jensens alpha for the portfolio? Is the portfolio attractive?

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