The returns for stock A and market portfolio are as follows: ...
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Finance
The returns for stock A and market portfolio are as follows:
| Year | Stock A Return | Market portfolio return |
| 2006 | 11% | 9% |
| 2007 | 10% | 2% |
| 2008 | 3% | 1% |
Market risk premium is 5% and risk-free rate is 2%.
- (6 MARKS) What are the beta of your asset A?
- (5 MARKS) What is your stock As Jensens alpha? Is stock A under- or over-valued?
- (3 MARKS) What is the Sharpe ratio of the stock A?
- (2 MARKS) What is the Treynor measure of performance evaluation?
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