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    Portfolio Evaluation

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    mahantesh123
    This document contains portfolio performance data for 4 portfolios labeled a through d, listing their annual return (Rp), market return (Rm), risk free rate (Rf), standard deviation (sd), beta, Sharpe ratio, Treynor ratio, and Jensen's alpha. Portfolio d performed the best with an annual return of 25% and the highest Sharpe ratio, Treynor ratio, and Jensen's alpha, while having the lowest standard deviation, suggesting it had the best risk-adjusted performance.

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    Portfolio Evaluation

    Uploaded by

    mahantesh123
    30 views1 page
    This document contains portfolio performance data for 4 portfolios labeled a through d, listing their annual return (Rp), market return (Rm), risk free rate (Rf), standard deviation (sd), beta, Sharpe ratio, Treynor ratio, and Jensen's alpha. Portfolio d performed the best with an annual return of 25% and the highest Sharpe ratio, Treynor ratio, and Jensen's alpha, while having the lowest standard deviation, suggesting it had the best risk-adjusted performance.

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    This document contains portfolio performance data for 4 portfolios labeled a through d, listing their annual return (Rp), market return (Rm), risk free rate (Rf), standard deviation (sd), beta, Sharpe ratio, Treynor ratio, and Jensen's alpha. Portfolio d performed the best with an annual return of 25% and the highest Sharpe ratio, Treynor ratio, and Jensen's alpha, while having the lowest standard deviation, suggesting it had the best risk-adjusted performance.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS or read online from Scribd
    Flag for inappropriate content
    Download as xls
    30 views1 page

    Portfolio Evaluation

    Uploaded by

    mahantesh123
    This document contains portfolio performance data for 4 portfolios labeled a through d, listing their annual return (Rp), market return (Rm), risk free rate (Rf), standard deviation (sd), beta, Sharpe ratio, Treynor ratio, and Jensen's alpha. Portfolio d performed the best with an annual return of 25% and the highest Sharpe ratio, Treynor ratio, and Jensen's alpha, while having the lowest standard deviation, suggesting it had the best risk-adjusted performance.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS or read online from Scribd
    Flag for inappropriate content
    Download as xls
    of 1

    Portfolio Rp Rm Rf sd beta sharpe trenyor jensen Rp

    a 14% 25% 6% 21% 1 0.38 0.080 25.00%


    b 17% 25% 6% 19% 1 0.58 0.110 25.00%
    c 20% 25% 6% 17% 1 0.82 0.140 25.00%
    d 25% 25% 6% 15% 1 1.27 0.190 25.00%

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