Question: You are given the following table Average return (%) standard deviation (%) Beta Market index 10.7 19 1 Portfolio A 19.4 44.2 1.34 Portfolio B

You are given the following table

Average return (%) standard deviation (%) Beta
Market index 10.7 19 1
Portfolio A 19.4 44.2 1.34
Portfolio B 13.5 21.8 1.12
Portfolio C 12.9 17.6 1.30
Portfolio D 9.3 5.6 0.71

a) If the risk free rate is 5.6%, calculate the following performance measures for each portfolios and the market index.

Jenson's alpha

Sharpe measure

Treynor measure

b) compare and comment on your answers from part (a) above

c) which fund exhibited the best performance? Why?

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