The actual results of the portfolios and the market index during the past three years are given below:
Portfolio |
Return on Portfolio () |
Portfolio Beta |
Risk-free Interest Rate |
A B C Market Index |
15% 12% 16% 13% |
1.2 0.8 1.5 1.0 |
8% 8% 8% 8% |
You are required to rank these portfolios according to Jensen’s measure of Portfolio Evaluation.
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