The details of three portfolios are given below. Compare these portfolios on performance using the Sharpe’s, Treynor’s and Jensen’s measures and comment.
Portfolio |
Average Return |
Standard Deviation |
Beta |
1 |
15% |
0.25 |
1.25 |
2 |
12% |
0.30 |
0.75 |
3 |
10% |
0.20 |
1.10 |
Market Index |
12% |
0.25 |
1.00 |
The risk-free rate of return is 9%.
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