Financial Risk Manager Part 2
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Consider the following performance data for a sample period:
| Portfolio (P) | Market (M) | |
|---|---|---|
| Average return | 15% | 9% |
| Beta | 1.6 | 1.0 |
| Standard deviation | 32% | 24% |
| Tracking error | 20% | 0 |
| Risk free rate | — | 3% |
If the Portfolio (P) is one sub-portfolio that is combined with several other portfolios into a large investment fund, which is the appropriate risk-adjusted performance measure (RAPM) and what is its value for Portfolio (P)?