The M2 measure is a variant of ________________. the Sharpe measure the Treynor measure Jensen's alpha...
The M2 measure is a variant of ________________.
the Sharpe measure
the Treynor measure
Jensen's alpha
the appraisal ratio
Homework Answers
M2 is a variant of :
Jensen's alpha.
Sharpe ratio is risk adjusted return of individual risk of
portfolio
Treynor measure is risk adjusted return relative to beta
Appraisal ratio is extra return per unsystematic risk
Add Answer to:
The M2 measure is a variant of ________________.
the Sharpe measure
the Treynor measure
Jensen's alpha...
15. Estimate the Sharpe, Treynor and Alpha Jensen's performance analyses fort the three portfolios below. Use...
15. Estimate the Sharpe, Treynor and Alpha Jensen's performance analyses fort the three portfolios below. Use the data below to complete the table. Portfolio Sharpe Treynor Jensen's Return 0.07 0.085 0.11 SD 0.15 0.12 0.095 Beta 0.8 1.05 1.4 Z 0.075 Market Risk Free 0.075 0.025 a. If you were to choose one portfolio, which one would it be? Why?
2. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate is 5%. Fund AvStd DevBeta | 13.6% | 13.1% 12.4%...
2. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate is 5%. Fund AvStd DevBeta | 13.6% | 13.1% 12.4% | 12.0% | 40% | 25% |30% | 15% | 1.0 1.3 1.0 S&P 500 Compute the Treynor measure, Sharpe ratio, and Jensen's alpha for portfolio A, B, and C. Based on each measure, which portfolio shows the best performance?
2. The risk-free rate, average returns,...
What is the comparison and contrast between the performance measures: - Fama's Nert selectivity measure vs...
What is the comparison and contrast between the performance measures: - Fama's Nert selectivity measure vs Sharpe ratio, Treynor Ratio and Jensens Alpha ratio
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP 13.0% 12.0 7.0 10.1 5.0 op 30% 25 15 20 Bp 1.30 1.10 0.75 1.00 Market Risk-free 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your ratio answers...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset ВР Portfolio Rp 13.0 Оp 39 1.75 х Y 12.0 34 1.30 7.2 24 0.85 Market 11.0 29 1.00 Risk-free 5.6 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP 15.5% 14.5 7.4 11.7 7.0 Op 36% 31 21 26 0 Bp 1.35 1.15 0.60 1.00 Market Risk-free 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your ratio...
3. 26% 20:29 Today 19:16 Edit 02 (a) Using the relevant formulas and diagrams, distinguish between...
3. 26% 20:29 Today 19:16 Edit 02 (a) Using the relevant formulas and diagrams, distinguish between the following performance measures: (1) Jensen's alpha and (ii) Sharpe measure; (ii) Treynor measure (10 marks)
ALLLLL 23. You are given the following information concerning three portfolios, the market portfolio, and the...
ALLLLL 23. You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp Qe Bp 12.0% 33% 1.95 11.0 28 1.25 7.3 18 0.60 Market 11.4 1.00 Risk-free 6. 8 0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?
Among the following measures, which one could be derived by either the CAPM or the Fama...
Among the following measures, which one could be derived by either the CAPM or the Fama and French model? Jensen's alpha M2 the P/E ratio the Sharpe ratio
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund...
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio. Use в со JENSEN'S ALPHA 2 Risk-free return 2% 3 Mutual fund 4 Mean return 5 Standard deviation 6 Correlation coefficient with the market (Pim) 7 Beta 8 "Normative return" (based on the SML) 9 Jensen's alpha A 7% 25% 0.36 Market portfolio 10% 18% B 20% 72% 0.5 a. Calculate the beta of each stock...
15. Estimate the Sharpe, Treynor and Alpha Jensen's performance analyses fort the three portfolios below. Use the data below to complete the table. Portfolio Sharpe Treynor Jensen's Return 0.07 0.085 0.11 SD 0.15 0.12 0.095 Beta 0.8 1.05 1.4 Z 0.075 Market Risk Free 0.075 0.025 a. If you were to choose one portfolio, which one would it be? Why?
2. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate is 5%. Fund AvStd DevBeta | 13.6% | 13.1% 12.4% | 12.0% | 40% | 25% |30% | 15% | 1.0 1.3 1.0 S&P 500 Compute the Treynor measure, Sharpe ratio, and Jensen's alpha for portfolio A, B, and C. Based on each measure, which portfolio shows the best performance?
2. The risk-free rate, average returns,...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP 13.0% 12.0 7.0 10.1 5.0 op 30% 25 15 20 Bp 1.30 1.10 0.75 1.00 Market Risk-free 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your ratio answers...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset ВР Portfolio Rp 13.0 Оp 39 1.75 х Y 12.0 34 1.30 7.2 24 0.85 Market 11.0 29 1.00 Risk-free 5.6 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP 15.5% 14.5 7.4 11.7 7.0 Op 36% 31 21 26 0 Bp 1.35 1.15 0.60 1.00 Market Risk-free 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your ratio...
3. 26% 20:29 Today 19:16 Edit 02 (a) Using the relevant formulas and diagrams, distinguish between the following performance measures: (1) Jensen's alpha and (ii) Sharpe measure; (ii) Treynor measure (10 marks)
ALLLLL 23. You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp Qe Bp 12.0% 33% 1.95 11.0 28 1.25 7.3 18 0.60 Market 11.4 1.00 Risk-free 6. 8 0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio. Use в со JENSEN'S ALPHA 2 Risk-free return 2% 3 Mutual fund 4 Mean return 5 Standard deviation 6 Correlation coefficient with the market (Pim) 7 Beta 8 "Normative return" (based on the SML) 9 Jensen's alpha A 7% 25% 0.36 Market portfolio 10% 18% B 20% 72% 0.5 a. Calculate the beta of each stock...
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