Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:
|
Portfolio
|
RP
|
|
σP
|
|
βP
|
|
X
|
12.5
|
%
|
34
|
%
|
1.50
|
|
Y
|
11.5
|
|
29
|
|
1.20
|
|
Z
|
7.1
|
|
19
|
|
.80
|
|
Market
|
10.5
|
|
24
|
|
1.00
|
|
Risk-free
|
6.2
|
|
0
|
|
0
|
| |
What is the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (Negative values should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your Sharpe ratio answers and Treynor ratio answers to 5 decimal places and Jensen's alpha answers to 2 decimal places. Omit the "%" sign in your response.)
|
Portfolio
|
Sharpe Ratio
|
Treynor Ratio
|
Jensen's Alpha
|
|
X
|
|
|
%
|
|
Y
|
|
|
%
|
|
Z
|
|
|
%
|
|
Market
|
|
|
%
|
| |