1. Congratulations! Your portfolio returned 9.4% last year, 1.9% better than the market return of 7.5%. Your portfolio had a standard deviation of earnings equal to 19%, and the risk free rate is equal to 3.5%. Calculate the Sharpe's measure for your portfolio. If the market's Sharpe's measure is .23, did your do better or worse than the market from a risk return perspective? Explain why? 2. Niki Malone's portfolio earned a return of 11.9% during the year just ended. The portfolio's standard deviation of return was 14.4%. The risk free rate is currently 6.2%. During the year, the return on the market portfolio was 9.5% and its standard deviation was 10.5%. a. Calculate Sharpe's measure for Niki Malone's portfolio for the year just ended. b. Compare the performance of Niki's portfolio found in part A to that of Hector Smith's portfolio, which has a Sharpe's measure of .343. Which portfolio performed better? Why? c. Calculate Sharpe's measure for the market portfolio for the year just ended. d. Use your findings in part A and C to discuss the performance of Niki's portfolio relative to the market during the year just ended. 3. Your portfolio has a beta equal to 1.5. It returned 10.1% last year. The market returned 7.9%; the risk-free rate is 5.1%. Calculate Treynor's measure for your portfolio and the market. Did you earn a better return than the market given the risk you took? 4. Your portfolio returned 14.2% last year, with a beta equal to 1.3. The market return was 11.7%, and the risk-free rate is 4.3%. If you use the Jensen's measure, did you earn more or less than the required rate of return on your portfolio?
1. Congratulations! Your portfolio returned 9.4% last year, 1.9% better than the market return of 7.5%. Your portfolio had a standard deviation of earnings equal to 19%, and the risk free rate is equal to 3.5%. Calculate the Sharpe's measure for your portfolio. If the market's Sharpe's measure is .23, did your do better or worse than the market from a risk return perspective? Explain why? 2. Niki Malone's portfolio earned a return of 11.9% during the year just ended. The portfolio's standard deviation of return was 14.4%. The risk free rate is currently 6.2%. During the year, the return on the market portfolio was 9.5% and its standard deviation was 10.5%. a. Calculate Sharpe's measure for Niki Malone's portfolio for the year just ended. b. Compare the performance of Niki's portfolio found in part A to that of Hector Smith's portfolio, which has a Sharpe's measure of .343. Which portfolio performed better? Why? c. Calculate Sharpe's measure for the market portfolio for the year just ended. d. Use your findings in part A and C to discuss the performance of Niki's portfolio relative to the market during the year just ended. 3. Your portfolio has a beta equal to 1.5. It returned 10.1% last year. The market returned 7.9%; the risk-free rate is 5.1%. Calculate Treynor's measure for your portfolio and the market. Did you earn a better return than the market given the risk you took? 4. Your portfolio returned 14.2% last year, with a beta equal to 1.3. The market return was 11.7%, and the risk-free rate is 4.3%. If you use the Jensen's measure, did you earn more or less than the required rate of return on your portfolio?
