L2.T8.16. Risk-adjusted performance measures (Bodie)
AIMs: Describe the different risk-adjusted performance measures, such as: Sharpe’s measure; Treynor’s measure; Jensen’s measure; and Information ratio
Questions:
16.1. Consider the following performance date for a sample period:![[IMG]](http://www.bionicturtle.com/images/2012/dailypq/T8_16_1.png)
If the Portfolio (P) is one sub-portfolio that is combined with several other portfolios into a large investment fund, which is the appropriate risk-adjusted performance measure (RAPM) and what is its value for Portfolio (P)?
- Sharpe of 25.0%
- Treynor of 6.0%
- Treynor of 7.5%
- Information ratio of 12.0%
16.2. Consider the following performance date for a sample period:![[IMG]](http://www.bionicturtle.com/images/2012/dailypq/T8_16_2.png)
If the Portfolio (P) represents the entire risky investment fund, which is the appropriate risk-adjusted performance measure (RAPM) and what is its value for Portfolio (P)?
- Sharpe of 0.4167
- Sharpe of 0.5385
- Treynor of 8.750%
- Information ratio of 0.2727
16.3. Consider the following performance date for a sample period:![[IMG]](http://www.bionicturtle.com/images/2012/dailypq/T8_16_3.png)
If the Portfolio (P) represents the active portfolio to be optimally mixed with the passive portfolio, which is the appropriate risk-adjusted performance measure (RAPM) and what is its value for Portfolio (P)?
- Sharpe of 0.4815
- Jensen (alpha) of 0.0760
- Treynor of 14.44%
- Information ratio of 0.380
2 Comments | Login to add your comment
Imad 21 Mar 2012
Hi
When I click on Here in forum, the page takes me to “P1.T2.205 Sampling distributions (Stock & Watson)”.
Can you please investigate.
Thanks
Imad
David Harper, CFA, FRM, CIPM 21 Mar 2012
Hi Imad,
Oops, apologies, we fixed the link. Thank you for noticing and alerting us!
I hope your studies are going well! David