IAPM Sum # 13


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The details of three portfolios are given below. Compare these portfolios on performance using the Sharpe’s, Treynor’s and Jensen’s measures and comment.

Portfolio

Average Return

Standard Deviation

Beta

1

15%

0.25

1.25

2

12%

0.30

0.75

3

10%

0.20

1.10

Market Index

12%

0.25

1.00

The risk-free rate of return is 9%.


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