Business
Order Description
The following data is available about the performance of Monarch Stock Fund and the
market portfolio:
Monarch Market portfolio
Average return 16% 12%
Standard deviation of returns 26% 22%
Beta 1.15 1.00
Residual standard deviation 1% 0%
The risk-free return during the sample period was 4%.
a) Explain the main measures of portfolio performance evaluation, and the situations in
which each measure is the most appropriate measure.
b) Determine the performance measures of Monarch Stock Fund using:
i) Sharpe’s measure
ii) Treynor’s measure
iii) Jensen’s measure.
