Example: Consider the following data for a particular sample period: Portfolio PMarket MAverage return35%28%Beta1.20 1.00 Standard deviation42%30%Nonsystematic risk, σ(e)18%0 The T-bill rate during the period was 6%. A) Calculate the market and portfolio returns using sharpe's measure, treynor's measure, jensen's measure and information ratioB) Compare and comment on results of each measure.

Sharpe's Measure: Sharpe's Measure calculates the excess return of a portfolio per unit of total…

Answered: Example: Consider the following data…

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter6: Risk And Return

Section: Chapter Questions

Problem 14P: You have observed the following returns over time: Assume that the risk-free rate is 6% and the...

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Example: Consider the following data for a particular sample period:

	Portfolio P	Market M
Average return	35%	28%
Beta	1.20	1.00
Standard deviation	42%	30%
Nonsystematic risk, σ(e)	18%	0

The T-bill rate during the period was 6%.

A) Calculate the market and portfolio returns using sharpe's measure, treynor's measure, jensen's measure and information ratio

B) Compare and comment on results of each measure.

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