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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%.

  1. (6 MARKS) What are the beta of your asset A?
  2. (5 MARKS) What is your stock As Jensens alpha? Is stock A under- or over-valued?
  3. (3 MARKS) What is the Sharpe ratio of the stock A?
  4. (2 MARKS) What is the Treynor measure of performance evaluation?

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