Consider the following data for a particular sample period:
| |
Portfolio P
|
Market M
|
|
Average return
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35%
|
28%
|
|
Beta
|
1.20
|
1.00
|
|
Standard deviation
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42%
|
30%
|
|
Tracking error (nonsystematic risk), (e )
|
18%
|
0
|
Calculate the following performance measures for portfolio P and the market:
Sharpe, Jensen (alpha), Treynor, information ratio. The T-bill rate during the period was 6%. By which measures did portfolio P outperform the market?