Data are given as follows: (all the values are inpercent)MonthAverageportfolio return marketAverage Averagerisk-freereturnrate2.4643.3600.09016.1302.3480.0900.771-1.4840.120-6.386-2.4370.12015-2.8611.9650.09016-7.6732.8060.1200.805-5.7210.150-0.3720.3270.1501.5082.4640.150102.0032.2500.15011-4.7236.6390.21012Calculate Treynor measure, Sharpe ratio,tracking error, information ratio, and hit ratio.Then, evaluate the performance of thisportfolio.2.3834.8740.210

Sharpe ratio: It is a measure of the excess return earned to compensate for the volatility of…

Data are given as follows: (all the values are in percent) Month Average portfolio return market Average Average risk-free rate return 2.464 3.360 0.090 2 16.130 2.348 0.090 0.771 -1.484 0.120 -6.386 -2.437 0.120 15 -2.861 1.965 0.090 6 7 -7.673 2.806 0.120 0.805 -5.721 0.150 -0.372 0.327 0.150 1.508 2.464 0.150 10 11 12 Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio. 2.003 2.250 0.150 -4.723 6.639 0.210 2.383 4.874 0.210

Data are given as follows: (all the values are in percent) Month Average portfolio return market Average Average risk-free rate return 2.464 3.360 0.090 2 16.130 2.348 0.090 0.771 -1.484 0.120 -6.386 -2.437 0.120 15 -2.861 1.965 0.090 6 7 -7.673 2.806 0.120 0.805 -5.721 0.150 -0.372 0.327 0.150 1.508 2.464 0.150 10 11 12 Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio. 2.003 2.250 0.150 -4.723 6.639 0.210 2.383 4.874 0.210

Cornerstones of Financial Accounting

4th Edition

ISBN:9781337690881

Author:Jay Rich, Jeff Jones

Publisher:Jay Rich, Jeff Jones

Chapter12: Fainancial Statement Analysis

Section: Chapter Questions

Problem 83E

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