You are given the following data for four portfolios over a recent 10-year period: a) b) c) d) Portfolio 1 2 3 4 Risk Free Market Annual Return % Standard Deviation % 10 15 12 17 6 13 Rank these portfolios using the Sharpe Measure. Rank these portfolios using the Treynor Measure. Rank these portfolios using the Jensen Measure 9 12 10 14 11 Explain any differences that you observe in the rankings. Portfolio Beta 1.15 1.20 1.50 1.45

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Question Fourteen
You are given the following data for four portfolios over a recent 10-year period:
a)
b)
c)
d)
Portfolio
1
2
3
4
Risk Free
Market
Annual Return% Standard Deviation %
9
12
10
14
10
15
12
17
6
13
Rank these portfolios using the Sharpe Measure.
Rank these portfolios using the Treynor Measure.
Rank these portfolios using the Jensen Measure
11
Explain any differences that you observe in the rankings.
Portfolio Beta
1.15
1.20
1.50
1.45
Transcribed Image Text:Question Fourteen You are given the following data for four portfolios over a recent 10-year period: a) b) c) d) Portfolio 1 2 3 4 Risk Free Market Annual Return% Standard Deviation % 9 12 10 14 10 15 12 17 6 13 Rank these portfolios using the Sharpe Measure. Rank these portfolios using the Treynor Measure. Rank these portfolios using the Jensen Measure 11 Explain any differences that you observe in the rankings. Portfolio Beta 1.15 1.20 1.50 1.45
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