What is the Sharpe ratio, Treynor ratio, and Jensen’s alpha for each portfolio?
ID: 2743846 • Letter: W
Question
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.)
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:Explanation / Answer
Sharpe's Ratio Treynor's Ratio Jensen's Alpha Sharpe's Ratio (Rp-Rf)/SDp (Rp-Rf)/Betap Actual Return - CAPM Return X (15.5-7)/36 (15.5-7)/1.35 15.5-13.35 0.236 6.30 2.15 Y (14.5-7)/31 (14.5-7)/1.15 14.5-12.41 0.242 6.52 2.09 Z (7.4-7)/21 (7.4-7)/0.60 7.4-9.82 0.02 0.67 -2.42 CAPM = RF+Beta*(Rm-RF) X 7+1.35*(11.7-7) 13.35 Y 7+1.15*(11.7-7) 12.41 Z 7+0.60*(11.7-7) 9.82
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