Question

The following portfolios are being considered for investment. During the period under consideration, RFR -0.06. Portfolio oi Return 0.13 0.19 0.08 0.16 0.11 Beta 1.00 1.40 0.60 1.20 1.00 0.04 0.08 0.02 0.05 0.03 Market a. Compute the Sharpe measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Sharpe measure Market b. Compute the Treynor measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Treynor measure Market c. Rank the portfolios using each measure, explaining the cause for any differences you find in the rankings. Portfolio Rank (Sharpe measure) Rank (Treynor measure) -Select- -Select- -Select- -Select- -Select- -Select- -Select- -Select- -Select- -Select- Market -Select is poorly diversified since it has a high ranking based on the Select , but a much lower ranking with the -Select- ).

Note: Select options for Chart are "1,2, 3, 4, 5"

Select options in last line are "portfolio P, Q, R S"  

"treynor measure/ sharpe measure" for the last two selection options.

Answer 1

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ke - Microsoft Excel (Product Activation Failed) Page Layout File Home Insert Formulas Data Review View Add-Ins Z AutoSum Cut AC Wrap Text Calibri 11 General ECopy Fill Conditional Format Formatting as Table Styles Merge & Center $ % Insert Delete Format Paste в IUT Cell Sort & Find & Format Painter Clear Filter Select Clipboard Font Alignment Number Styles Cells Editing f&x СС157 BX BY BZ CA СВ СС CD CE CF CG 140 141 142 Rp Вр SDp 143 P 0.13 1.00 0.04 144 Q 0.19 1.40 0.08 145 0.08 0.60 0.02 1.20 0.05 146 S 0.16 MARKET (Rm) 0.11 147 1.00 0.03 RISK FREE RATE (Rf) 148 0.06 0 0.00 149 SHARPE RA 150 a PORTFOLIO [(Rp-Rf)/SDp] 151 FORMULA 1.750 152 P 153 Q 1.625 154 1.000 R 2.000 155 156 MARKET 1.667 157 158 b TREYNOR RATIO coNvexity RESI e LEASING YIELD bond portfolio DGMbeta PV, FV, ANNUITY DIR right clean cap stru WACC 130% KE CAPM UTILITY, SHARPE, beta port future INDEX INTL CAP BUD erences: AG470 WA 01:21 ENG 24-11-2019

ke - Microsoft Excel (Product Activation Failed) Formulas File Home Insert Page Layout Data Review View Add-Ins Z AutoSum Cut A A EWrap Text Calibri 11 General Copy Fill Merge & Center Insert Delete Format Paste в IU* 000 Conditional Format Cell Sort & Find & % Format Painter Clear Filter Select Formatting as Table Styles Clipboard Number Font Alignment Styles Cells Editing f&x СС175 ВХ BY BZ CA CB CC CD CE CF CG 157 158 b TREYNOR RATIO [(Rp-Rf)/Bp] FORMULA 159 160 P 0.070 0.093 161 162 0.033 R 163 0.083 164 MARKET 0.050 165 166 C RANK (SHARPE) RANK(TREYNOR) PORTFOLIO 167 P 2 3 168 169 5 5 170 1 2 171 MARKET 3 4 172 "Q" IS POORLY DIVERSIFIED AS IT HAS HIGH RANKING BASED ON " TREYNOR MEASURE" 173 BUT A MUCH LOWER RANKING BASED ON "SHARPE MEASURE 174 175 RESI e PV, FV, ANNUITY DIR right clean DGM beta LEASING YIELD bond portfolio KE CAPM UTILITY, SHARPE, beta cap stru WACC E 130% cONvexity port future INDEX INTL CAP BUD erences: AG470 WA 01:21 ENG 24-11-2019