You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Rp 15.5% Portfolio X Y Z Market Risk-free 14.5 7.4 11.7 7.0 op 36% 31 21 26 0 6p 1.35 1.15 0.60 1.00 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?

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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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Rp
15.5%
op
36%
вр
1.35
1.15
14.5
7.4
0.60
11.7
1.00
7.0
Portfolio
X
Y
Z
Market
Risk-free
What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?
Note: A negative value 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 ratio answers to 5 decimal places. Enter your alpha answers as a percent
rounded to 2 decimal places.
Portfolio
X
Y
Z
Market
31
21
26
0
X Answer is complete but not entirely correct.
Jensen's Alpha
2.16
2.10
-2.42
0
Sharpe Ratio
23.61111
24.19355 X
1.90476 x
18.07692 x
Treynor Ratio
11.48148 x
6.52174 X
0.66667
4.70000
%
%
%
%
Transcribed Image Text:You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Rp 15.5% op 36% вр 1.35 1.15 14.5 7.4 0.60 11.7 1.00 7.0 Portfolio X Y Z Market Risk-free What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? Note: A negative value 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 ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places. Portfolio X Y Z Market 31 21 26 0 X Answer is complete but not entirely correct. Jensen's Alpha 2.16 2.10 -2.42 0 Sharpe Ratio 23.61111 24.19355 X 1.90476 x 18.07692 x Treynor Ratio 11.48148 x 6.52174 X 0.66667 4.70000 % % % %
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