Calculate the following performance measures for portfolio

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Reference no: EM13567297

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%

Tracking error (nonsystematic risk), (e )

18%

0

Calculate the following performance measures for portfolio P and the market:

Sharpe, Jensen (alpha), Treynor, information ratio. The T-bill rate during the period was 6%. By which measures did portfolio P outperform the market?

Reference no: EM13567297

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