Reference no: EM133113804
1. Using the return data on portfolios A and B provided in the accompanying spreadsheet, compute the average return for portfolio B. Round off your answer to three digits after the decimal point. State your answer as a percentage point, such as 1.234.
2. Using the return data on portfolios A and B provided in the accompanying spreadsheet, compute the return volatility for portfolio B. Round off your answer to three digits after the decimal point. State your answer as a percentage point, such as 1.234.
3. What is the Sharpe ratio for portfolio A? Round off your answer to three digits after the decimal point, as in 1.234.
4. What is portfolio A's CAPM alpha? Use portfolio M as the market portfolio proxy. Round off your answer to three digits after the decimal points. State your answer as a percentage point as 1.234.
5. What is portfolio A's CAPM beta based on your analysis? Round off your answer to three digits after the decimal points. State your answer as a percentage point as 1.234.
6. Compute the Treynor measure for portfolio B. Round off your answer to three digits after the decimal point. State your answer as 1.234
7. What is the R-squared for your CAPM model for portfolio B? State your answer as a percentage point such as 10.1
8. Compute the residual risk measure for portfolio A. Round off your final answer to three digits after the decimal point.
9. Compute the appraisal ratio for portfolio A. Round off your final answer to three digits after the decimal point.
10. Compute the information ratio for portfolio B. Round off your answer to three digits after the decimal point.
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Excess Returns over the risk free rate
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|
Month
|
A
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B
|
M
|
|
1
|
0.67
|
3.72
|
-1.56
|
|
2
|
1.69
|
3.31
|
-2.08
|
|
3
|
12.37
|
7.26
|
3.67
|
|
4
|
0.32
|
0.15
|
-6.14
|
|
5
|
3.65
|
4.17
|
-0.91
|
|
6
|
-14.55
|
-0.98
|
-7.25
|
|
7
|
-2.71
|
-0.61
|
-7.90
|
|
8
|
2.28
|
4.39
|
0.49
|
|
9
|
-13.53
|
-3.52
|
-11.00
|
|
10
|
16.91
|
10.46
|
8.64
|
|
11
|
7.05
|
8.53
|
5.71
|
|
12
|
-8.99
|
0.46
|
-6.03
|
|
13
|
0.50
|
3.08
|
-2.74
|
|
14
|
-5.48
|
3.30
|
-1.70
|
|
15
|
-1.05
|
4.88
|
0.84
|
|
16
|
14.19
|
9.87
|
8.10
|
|
17
|
10.04
|
8.24
|
5.09
|
|
18
|
0.37
|
4.86
|
1.13
|
|
19
|
5.91
|
5.52
|
1.62
|
|
20
|
1.99
|
5.81
|
1.79
|
|
21
|
0.00
|
3.85
|
-1.19
|
|
22
|
4.40
|
7.93
|
5.50
|
|
23
|
-2.62
|
4.83
|
0.71
|
|
24
|
5.74
|
7.90
|
5.08
|
|
25
|
7.49
|
5.86
|
1.73
|
|
26
|
3.04
|
5.56
|
1.22
|
|
27
|
-2.73
|
3.25
|
-1.64
|
|
28
|
-5.60
|
3.11
|
-1.68
|
|
29
|
3.57
|
5.19
|
1.21
|
|
30
|
1.54
|
6.03
|
1.80
|
|
31
|
-2.20
|
2.20
|
-3.43
|
|
32
|
-0.46
|
4.53
|
0.23
|
|
33
|
2.89
|
5.13
|
0.94
|
|
34
|
3.35
|
5.07
|
1.40
|
|
35
|
4.99
|
7.32
|
3.86
|
|
36
|
1.19
|
7.10
|
3.25
|