Author Question: A portfolio has a total return of 14.4%, a standard deviation of 18.5% and a beta of 1.43. The risk ... (Read 72 times)

danitzaidaly · **on:** Mar 29, 2022

Question 1

A portfolio has a total return of 10.5%, a beta of 0.72 and a standard deviation of 6.3%. The risk free rate is 3.8%, the market return is 12.4%. Jensen's measure of this portfolio's performance is
◦ 0.5%.
◦ 4.3%.
◦ 7.9%.
◦ 9.3%.

Question 2

A portfolio has a total return of 14.4%, a standard deviation of 18.5% and a beta of 1.43. The risk free rate is 2.5%, the market rate of return is 11.4%, and the market's Treynor measure is 6.3. What is the value of the Treynor measure of this portfolio?
◦ -1.9%
◦ .63 %
◦ 8.32%
◦ 27.4%

zubair1583 · **Reply #1 on:** Mar 29, 2022

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