Consider the following data for a particular sample period:
| Â | Portfolio P | Market M |
Average return | 35% | 28% |
Beta | 1.20 | 1.00 |
Standard deviation | 42% | 30% |
Tracking error (nonsystematic risk), (e ) | 18% | 0 |
Calculate the following performance measures for portfolio P and the market:
Sharpe, Jensen (alpha), Treynor, information ratio. The T-bill rate during the period was 6%. By which measures did portfolio P outperform the market?
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