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Given performance data regarding an assortment of hypothetical investment portfo
Given performance data regarding an assortment of hypothetical investment portfolios:
Average
Standard
Beta
Unsystematic
Fund
Return
Deviation
Coefficient
Risk
Portfolio A
0.2800
0.2700
1.7000
0.0500
Portfolio B
0.3100
0.2600
1.6200
0.0600
Portfolio C
0.2200
0.2100
0.8500
0.0200
Portfolio D
0.4000
0.3300
2.5000
0.2700
S & P Index Return
0.2000
0.1700
1.0000
0.0000
T-Bill Return
0.06
0
Compare and contrast the following performance measurement techniques:
Sharpe Ratio
Treynor Measure
Jensen’s Alpha
Modigliani-Modigliani (M2) Measure
Conduct your analysis by producing a formal, detailed 3-5 page (minimum) essay, including incorporation of Excel spreadsheets and charts as needed, along with multiple APA sources and citations. Make sure your essay includes:
Definition and origin of each risk-adjusted portfolio measurement technique
Performance measurement calculations for each portfolio (Sharpe, Treynor, Jensen, M2)
Rank each portfolio in order of preference for each measurement technique
Discuss why different portfolio measurements may lead to a different ranking.
Conduct formal presentation to defend your research
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