What is the Sharpe ratio, Treynor ratio, and Jensen’s alpha for each portfolio?
ID: 2757724 • Letter: W
Question
What is the Sharpe ratio, Treynor ratio, and Jensen’s alpha for each portfolio? (Negative values should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your Sharpe ratio answers and Treynor ratio answers to 5 decimal places and Jensen's alpha answers to 2 decimal places. Omit the "%" sign in your response.)
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:Explanation / Answer
Solution :
Portfolio
Sharpe Ratio
Treynor Ratio
Jensen's Alpha
X
0.25278
5.68750
0.62
Y
0.26129
6.23077
1.21
Z
0.17619
4.62500
-0.54
Market
0.20385
5.30000
0
Formula
calculation for X
answer
Sharp ratio = (RP - risk free return)/Standard deviation
(14.5-5.4)/36
0.252777778
Treynor ratio = (RP - risk free return)/beta
(14.5-5.4)/1.6
5.6875
Jensen's Alpha =RP - (risk free return+beta*(market return-risk free return))
14.5-(5.4+1.6*(10.7-5.4))
0.62
Portfolio
Sharpe Ratio
Treynor Ratio
Jensen's Alpha
X
0.25278
5.68750
0.62
Y
0.26129
6.23077
1.21
Z
0.17619
4.62500
-0.54
Market
0.20385
5.30000
0
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