Consider the following data for portfolios a b amp

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Reference no: EM13381315

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

(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: EM13381315

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