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23-05-2023
Business

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The following table summarizes the return and risk of an actively managed portfolio P and the market portfolio M: Summary of Portfolio Return Active Portfolio P Market Portfolio M Average return 20% 13% Beta 1.6 1.0 Standard deviation 37% 21% Residual standard deviation (oe) 16% 0% The T-bill (risk-free) rate is 2%. A. (1 point) Compute the Sharpe ratio for P and M. Did P outperform M? B. (1 point) Compute the Treynor ratio for P and M. Did P tperform M? C. (1 point) Compute the information ratio for P.

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