IAPM Sum # 12


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The actual results of the portfolios and the market index during the past three years are given below:

Portfolio

Return on

Portfolio ()

Portfolio

Beta

Risk-free Interest

Rate

A

B

C

Market Index

15%

12%

16%

13%

1.2

0.8

1.5

1.0

8%

8%

8%

8%

You are required to rank these portfolios according to Jensen’s measure of Portfolio Evaluation.


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