Portfolio A and Portfolio B are based on the following given annual returns: Portfolio A Portfolio B Market T-Bills (A) (B) (M) (RF) 0.11 0.09 0.14 0.02 -0.04 -0.07 -0.06 0.03 0.13 0.11 0.10 0.03 0.07 0.09 0.05 0.04 0.19 0.16 0.18 0.03 0.09 0.07 0.10 0.03 Calculate the Jensen’s Alpha ratio for Portfolio A and Portfolio B and determine which portfolio is more optimal based on the given annual returns listed within the chart above.
Portfolio A and Portfolio B are based on the following given annual returns: Portfolio A Portfolio B Market T-Bills (A) (B) (M) (RF) 0.11 0.09 0.14 0.02 -0.04 -0.07 -0.06 0.03 0.13 0.11 0.10 0.03 0.07 0.09 0.05 0.04 0.19 0.16 0.18 0.03 0.09 0.07 0.10 0.03 Calculate the Jensen’s Alpha ratio for Portfolio A and Portfolio B and determine which portfolio is more optimal based on the given annual returns listed within the chart above.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
Portfolio A and Portfolio B are based on the following given annual returns:
|
Portfolio A |
Portfolio B |
Market |
T-Bills |
|
(A) |
(B) |
(M) |
(RF) |
|
0.11 |
0.09 |
0.14 |
0.02 |
|
-0.04 |
-0.07 |
-0.06 |
0.03 |
|
0.13 |
0.11 |
0.10 |
0.03 |
|
0.07 |
0.09 |
0.05 |
0.04 |
|
0.19 |
0.16 |
0.18 |
0.03 |
|
0.09 |
0.07 |
0.10 |
0.03 |
Calculate the Jensen’s Alpha ratio for Portfolio A and Portfolio B and determine which portfolio is more optimal based on the given annual returns listed within the chart above.
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