Assume the following information:
|
Your Portfolio
|
|
The Market
|
|
|
Expected return
|
15%
|
Expected return
|
14%
|
|
Standard deviation
|
20%
|
Standard deviation
|
12%
|
|
Beta
|
1.3
|
Beta
|
1.0
|
If the risk-free rate is 5%, calculate and compare the Sharpe Ratio and the Treynor Index for both Your Portfolio and The Market. Did your portfolio beat the market on a risk-adjusted basis?