Quantitative Competency

Posted on by Leakey
  1. Compare the following Actively Managed Equity Portfolios (A, B, & C) to the Market Portfolio (S&P 500).
    For each portfolio (A, B, C, & the Market Portfolio) Calculate 1) Treynor’s Ratio, 2) Sharpe’s Alpha and 3)
    Jensen’s Alpha. Using the calculated statistics determine which portfolio offers the most favorable risk-adjusted results. Justify your choice. The Risk-Free Rate of Return is 3%.
    Preferred language style Simple (Easy vocabulary, simple grammar constructions)

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