The administrator of a large pension fund wants to evaluate the performance of f

Question

The administrator of a large pension fund wants to evaluate the performance of four portfolio managers. Each portfolio manager invests only in U.S. common stocks. Assume that during the most recent 5-year period, the average annual total rate of return including dividends on the S&P 500 was 14%, and the average nominal rate of return on government Treasury bills was 8%. The following table shows risk and return measures for each portfolio:
Portfolio P has Average Annual Rate of Return: 17% Standard Deviation: 20% Beta: 1.1
Portfolio Q has Average Annual Rate of Return: 24% Standard Deviation: 18% Beta: 2.1
Portfolio R has Average Annual Rate of Return: 11% Standard Deviation: 10% Beta: 0.5
Portfolio S has Average Annual Rate of Return: 16% Standard Deviation: 14% Beta: 1.5
Portfolio S&P 500 has Average Annual Rate of Return: 14% Standard Deviation: 12% Beta: 1.0


What is the Treynor performance measure for portfolio P?

What is the Sharpe performance measure for portfolio Q?

Explanation / Answer

Treynor performance measure for portfolio P= (.17-.08)/1.1=__

Sharpe performance measure for portfolio Q=(.24-.08)/.2

Related Questions

Navigate

• Browse (All)
• Browse T
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.