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Question
The following data are available for three portfolios and the market for a recent 10-year period:
Average
Annual Standard
Portfolio Return (%) Deviation Beta R2_
1 14 21 1.15 0.70
2 16 24 1.00 0.98
3 20 28 1.25 0.90
S&P 500 12 20
RF 6
Rank these portfolios using the Sharpe measure (3 = highest).Rank these portfolios using the Treynor measure.Which of these portfolios outperformed the market?
Answer
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