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Data are given as follows: (all the values are in percent) ...

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Finance

Data are given as follows: (all the values are in percent)

Month

Average portfolio return

Average market return

Average risk-free rate

Portfolio beta

Return standard deviation

Monthly alpha

1

2.464

3.360

0.090

0.801

6.779

-0.246

2

16.130

2.348

0.090

0.379

6.095

15.183

3

0.771

-1.484

0.120

0.912

6.407

2.115

4

-6.386

-2.437

0.120

0.583

6.374

-5.015

5

-2.861

1.965

0.090

0.207

5.832

-3.339

6

-7.673

2.806

0.120

0.753

5.444

-9.815

7

0.805

-5.721

0.150

0.553

5.221

3.902

8

-0.372

0.327

0.150

0.521

6.141

-0.615

9

1.508

2.464

0.150

0.497

4.047

0.209

10

2.003

2.250

0.150

0.701

4.142

0.381

11

-4.723

6.639

0.210

1.501

7.750

-14.581

12

2.383

4.874

0.210

0.762

3.879

-1.380

Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio.

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