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What is the sharpe ratio treynor ratio and jensens alpha

Assignment Help Portfolio Management
Reference no: EM131168802

Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:

  Portfolio

RP

  

σP

  

βP

X

12.5

%

34

%

1.50

  Y

11.5

  

29

  

1.20

  Z

7.1

  

19

  

.80

  Market

10.5

  

24

  

1.00

  Risk-free

6.2

  

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: EM131168802

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