0 out of 0 8 pos Portiolo A has a refurn of 10 1 percent, a standard deviation o
ID: 2785963 • Letter: 0
Question
0 out of 0 8 pos Portiolo A has a refurn of 10 1 percent, a standard deviation of 15 9 percent, and a bela of 0 83 Treasuries earned 29 percent, and the overall market earned 10 percent Weat s the Sharpe rabop Correct Answer 0045 ± 2% stion 2 0 out of 0 0 peints Copy of Portlolo A has a return of 9 9 percent, a standard deviation of 19 2 percent, and a beta Correct Answer . ) 93 , 2% f 1 12 Treasuries ewrned 3 1 percent, and the overall market earmed 10 percent What s Jensen's alphr? estion 3 0 out of 0 8 poins and a bota of 1 42 Treasunes oaned 2.7 pencent, and the overal market earned 9 percent What is the Treynor rafo? Correct Answer 05.99 t 2%Explanation / Answer
1.
Sharpe ratio = (Portfolio return – Risk free rate) / Standard deviation
= (10.10% - 2.90%) / 15.90%
= 7.20% / 15.90%
= 0.45
Sharpe ratio is 0.45.
2.
Required rate of return of portfolio = 3.10% + (10% - 3.10%) × 1.12
= 3.10% + (6.90% × 1.12)
= 3.10% + 7.73%
= 10.83%
Required rate of return is 10.83%.
Expected return = 9.90%
Jension Alpha = 9.90% - 10.83%
= -0.93%
Jension Alpha is -0.93%.
3.
Traynor ratio = (Portfolio return – Risk free rate) / Beta
= (11.20% - 2.70%) / 1.42
= 8.50% / 1.42
= 5.99
Traynor ratio is 5.99
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