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Consider the following data for portfolios a b amp

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Reference no: EM13381315

Consider the following data for portfolios A, B & C:

A    B    C    Market

Actual Return            9%   10%  11%  9%

Beta                 1.2   .8    1.1   1.0

Standard Deviation        22%  18%  24%  20%

Risk free rate is 1%

(1.) Calculate the following performance measures for A, B & C:

(a) Sharpe        

(b) Treynor       

(c) Jensen        

(d) M2                

(2.) Compare A, B & C using the different measures. How do you determine which portfolio had the superior return? What other information do you need to decide?

Reference no: EM13381315

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