Information concerning three portfolios

Assignment Help Financial Management

Reference no: EM131070760

Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP σP βP X 15.5 % 37 % 1.65 Y 14.5 32 1.30 Z 8.2 22 .80 Market 10.8 27 1.00 Risk-free 6.4 0 0 What is the Sharpe ratio, Treynor ratio, and Jensen’s alpha for each portfolio? (Negative values should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your Sharpe ratio answers and Treynor ratio answers to 5 decimal places and Jensen's alpha answers to 2 decimal places. Omit the "%" sign in your response.) Portfolio Sharpe Ratio Treynor Ratio Jensen's Alpha X % Y % Z % Market %

Reference no: EM131070760

Questions Cloud

The market portfolio and the risk-free asset : Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP σP βP X 13.00 % 30.00 % 1.30 Y 12.00 25.00 1.10 Z 7.00 15.00 .75 Market 10.10 20.00 1.00 Risk-free 5.00 .00 .00 Assume that th..

The market value of Firm debt : The market value of Firm L's debt is $200,000 and its yield is 10%. The firm's equity has a market value of $300,000, its earnings are growing at a 5% rate, and its tax rate is 40%. A similar firm with no debt has a cost of equity of 14%. Under the M..

Find total amount of discount in original purchase price : A 10 year bond of 1000 face amount with semiannual coupons, redeemable at par, is bought at a discount to yield 12 % convertible semiannually. If the book value six months before the redemption date is 985.85, find the total amount of discount in the..

What is maximum total cost recovery deduction : Tessa owns an unincorporated manufacturing business. In 2015, she purchases and places in service $207,000 of qualifying five-year equipment for use in her business. Her taxable income from the business before any Sec. 179 deduction is $15,000. Tessa..

Information concerning three portfolios : Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP σP βP X 15.5 % 37 % 1.65 Y 14.5 32 1.30 Z 8.2 22 .80 Market 10.8 27 1.00 Risk-free 6.4 0 0 What is the Sharpe ratio, Treynor r..

Acquires an oil and gas property interest : Jimmy acquires an oil and gas property interest for $600,000. Jimmy expects to recover 200,000 barrels of oil. Intangible drilling and development costs are $160,000 and are charged to expense. Other expenses are $40,000. During the year, 25,000 barr..

Market value weights of longminus-term ?debt : The following market information was gathered for the ACME corporation. The common stock is selling for? $40.00 per share and there are? 100,000 shares outstanding. Retained earnings equal? $400,000, preferred stock has? 1,000 shares outstanding sell..

Calculate the sustainable growth rate : Profit margin = 8.8 % Capital intensity ratio = .49 Debt-equity ratio = .64 Net income = $ 99,000 Dividends = $ 46,000 Required: Based on the above information, calculate the sustainable growth rate for Northern Lights Co

Cost of equity the earnings-dividends and common stock price : Cost of Equity The earnings, dividends, and common stock price of Shelby Inc. are expected to grow at 5% per year in the future. Shelby's common stock sells for $26.00 per share, its last dividend was $2.00, and the company will pay a dividend of $2...

User Account

All Pages