Below are the annual returns provided by TSCM. Calculate average annual return experienced by an investor over the last five years. Calculate the standard deviation of the portfolio return over this period. (See sheet "TSCM" in the attached Excel.) Period Return 2021 -51.0% 2020 43.0% 2019 61.0% 2018 -5.0% 2017 -19.0% In the year 2022, TSCM return is 21%. Calculate TSCM's Jensen's Alpha for the year period in annual terms. Use the below data. Beta = 2.3 Risk-free rate = 1% Expected Market Return = 8%
Below are the annual returns provided by TSCM. Calculate average annual return experienced by an investor over the last five years. Calculate the standard deviation of the portfolio return over this period. (See sheet "TSCM" in the attached Excel.) Period Return 2021 -51.0% 2020 43.0% 2019 61.0% 2018 -5.0% 2017 -19.0% In the year 2022, TSCM return is 21%. Calculate TSCM's Jensen's Alpha for the year period in annual terms. Use the below data. Beta = 2.3 Risk-free rate = 1% Expected Market Return = 8%
ChapterP5: Part 5: Short-term Asset And Liability Management
Section: Chapter Questions
Problem 3Q
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Below are the annual returns provided by TSCM. Calculate average annual return experienced by an investor over the last five years.
Calculate the standard deviation of the portfolio return over this period. (See sheet "TSCM" in the attached Excel.)
Period Return
2021 -51.0%
2020 43.0%
2019 61.0%
2018 -5.0%
2017 -19.0%
In the year 2022, TSCM return is 21%. Calculate TSCM's Jensen's Alpha for the year period in annual terms. Use the below data.
Beta = 2.3
Risk-free rate = 1%
Expected Market Return = 8%
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