A. Using the data in the table below alculate the following performance measures. i. Sharpe ratio ii. Treynor measure iii. Jensen’s alpha iv. M-squared


A. Using the data in the table below alculate the following performance measures.
i. Sharpe ratio
ii. Treynor measure
iii. Jensen’s alpha
iv. M-squared measure
v. T-squared measure, and
vi. Appraisal ratio (information ratio)
Fund
(Average (Standard (Beta (Unsystematic
Return) Deviation) Coefficient) Risk)
A 0.240 0.220 0.800 0.017
B 0.200 0.170 0.900 0.450
C 0.290 0.380 1.200 0.074
D 0.260 0.290 1.100 0.026
E 0.180 0.400 0.900 0.121
F 0.320 0.460 1.100 0.153
G 0.250 0.190 0.700 0.120
Market 0.220 0.180 1.000 0.000
Risk-free
return 0.050 0.000
6*3marks = 18 marks
b. Out of the performance measures you calculated in part a., which one would you use under
each of the following circumstances:
i. You want to select one of the funds as your risky portfolio.
ii. You want to select one of the funds to be mixed with the rest of your portfolio,
currently composed solely of holdings in the market-index fund.
iii. You want to select one of the funds to form an actively managed stock portfolio.


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