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You proposed a portfolio for your client with 60% in stock A and 40% in stock B. Stock A has an average weekly return of 0.88% and stock B has an average weekly return of 1.32%. Beta for stock A and B are 0.8 and 1.3 respectively. Now you want to deliver a performance report to the client regarding portfolio performance on a weekly basis.

(a). What’s the portfolio average weekly return? [2 points]

(b). What’s the portfolio beta? [2 points]

(c). You have calculated the portfolio weekly standard deviation: 3.9%. What’s the Sharpe ratio of the portfolio? Assuming weekly market return is 0.9% and weekly risk- free rate is 0.04%. [3 points]

(d). Still assume the portfolio weekly standard deviation is 3.9%, weekly market return is 0.9% and weekly risk-free rate is 0.04%, what’s Jensen’s Alpha of the portfolio? [3 points

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