You proposed a portfolio for your client with 60% in stock A and 40% in stock...

You proposed a portfolio for your client with 60% in stock A and 40% in stock B. Stock A has an average weekly return of 0.88% and stock B has an average weekly return of 1.32%. Beta for stock A and B are 0.8 and 1.3 respectively. Now you want to deliver a performance report to the client regarding portfolio performance on a weekly basis. (a). What’s the portfolio average weekly return?

(b). What’s the portfolio beta?

(c). You have calculated the portfolio weekly standard deviation: 3.9%. What’s the Sharpe ratio of the portfolio? Assuming weekly market return is 0.9% and weekly riskfree rate is 0.04%.

(d). Still assume the portfolio weekly standard deviation is 3.9%, weekly market return is 0.9% and weekly risk-free rate is 0.04%, what’s Jensen’s Alpha of the portfolio?

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jeff jeffy answered 1 month ago

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