Exhibit 18.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PRO…

Exhibit 18.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)   Consider the data presented below on three mutual funds and the market.   ​ ​ Standard ​ ​ Fund Beta Deviation (%) Return (%) Rf (%) AAA 0.75 7.0 14 3 BBB 1.05 5.0 18 3 CCC 0.89 8.0 20 3 Market 1.00 8.0 12 3     Refer to Exhibit 18.3. Compute the Treynor Measure for the CCC fund.

Assume that as a portfolio manager the beta of your portfoli…

Assume that as a portfolio manager the beta of your portfolio is 1.3 and that your performance is exactly on target with the SML data under condition 1. If the true SML data is given by condition 2, how much does your performance differ from the true SML?   (1) RFR = .08 Rm(proxy) = .11 (2) RK = .07 Rm(true) = .14