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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:...

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:

Portfolio RP σP βP
X 12.5 % 38 % 1.45
Y 11.5 33 1.15
Z 9.4 23 0.80
Market 11.9 28 1.00
Risk-free 6.2 0 0

What are the Sharpe ratio, Treynor ratio, and Jensen’s alpha for each portfolio? (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. Leave your ratio answers as a decimal rounded to 5 places (e.g., 0.23546). Enter your alpha answers as a percent rounded to 2 decimal places (e.g., 0.22%).)

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jeff jeffy answered 2 years ago
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