Calculate both the treynor measure and the sharpe measure

Assignment Help Portfolio Management

Reference no: EM13923324

An analyst wants to evaluate Portfolio X, consisting entirely of U.S. common stocks, using both the Treynor and Sharpe measures of portfolio performance. The following table provides the average annual rate of return for Portfolio X, the market portfolio (as measured by the Standard and Poor's 500 Index), and U.S. Treasury bills (T-bills) during the past eight years.

	Annual Average Rate of Return	Standard Deviation of Return	Beta
Portfolio X	10%	18%	0.60
S&P 500	12	13	1.00
T-bills	6	n/a	n/a
n/a = not applicable

a. Calculate both the Treynor measure and the Sharpe measure for both Portfolio X and the S&P 500. Briefly explain whether Portfolio X underperformed, equaled, or outperformed the S&P 500 on a risk-adjusted basis using both the Treynor measure and the Sharpe measure.

b. Based on the performance of Portfolio X relative to the S&P 500 calculated in Part a, briefly explain the reason for the conflicting results when using the Treynor measure versus the Sharpe measure.

Reference no: EM13923324

Questions Cloud

Completing the project follows a normal distribution : The mean time to complete a construction project is 52 weeks with a standard deviation of 3 weeks. Assuming the probability of completing the project follows a normal distribution, what is the probability of completing the project between 56 week..

Compute the sharpe measure for the market portfolio : Compute the Sharpe measure for each portfolio and the market portfolio. Compute the Treynor measure for each portfolio and the market portfolio

How to enter and save a program- compile and run a program : Welcome to Programming with C++. The purpose of this three-part lab is to walk you through the following tutorial to become familiar with the actions of compiling and executing a C++ program.

Determine auditing a firm''s ending inventory balance : You are building your audit plan and trying to determine your approach to auditing their ending inventory balance as well as the long-term debt balance.

Calculate both the treynor measure and the sharpe measure : Calculate both the Treynor measure and the Sharpe measure for both Portfolio X and the S&P 500. Briefly explain whether Portfolio X underperformed, equaled, or outperformed the S&P 500.

How many drinks would the average person have : How many drinks would the average person have to consume to reach a blood alcohol level of approximately 0.15%

Prevent the successful application : Select one of the major trade theories and answer the following question: What cultural, physical, economical, financial, and political impediments might prevent the successful application of your selected trade theory?

How is diversification measured in the statistical framework : Which fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework?

Which parts of the body controls sleep-wake cycle : Which of the following parts of the body controls the sleep-wake cycle? Delta waves are predominant in which stage of sleep

User Account

All Pages