In: Finance
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%).)