Performance measures for the portfolio

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Reference no: EM131522173

Portfolio Performance Measures

Suppose that a portfolio has a beta of 1.15. Over the period of one year, the portfolio had a return of 12.4% with a standard deviation of 16.2%. If the T-bill return for the year was 1.2% and the return on the S&P500 was 10.2%, calculate the following performance measures for the portfolio.

a. Jensen’s alpha

b. Treynor’s index

c. Sharpe’s index

Reference no: EM131522173

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