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Compare a b amp c using the different measuresnbsp how do

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Consider the following data for portfolios A, B & C:

                                                A         B         C         Market

Actual Return                         9%       10%     11%     9%

Beta                                         1.2       .8         1.1       1.0

Standard Deviation                 22%     18%     24%     20%

Risk free rate is 1%

(1.) Calculate the following performance measures for A, B & C:

(a) Sharpe                   

(b) Treynor                 

(c) Jensen                   

(d) M2                                 

(2.) Compare A, B & C using the different measures.  How do you determine which portfolio had the superior return?  What other information do you need to decide?

Reference no: EM13483675

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