# Finance 125.740 OTIS Report

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Name ___________________________For the Sharpe, Treynor and Jensen calculations you will need the risk-free rate. You can get the daily numbers from OTIS on the Rankings page for Sharpe. Download the spreadsheet (at the bottom of that page) "How was the Sharpe Ratio for my portfolio calculated." That spreadsheet has the daily risk-free rate numbers (those are the rates I will use to calculate these stats).When you calculate your Beta, beware you may get odd numbers (like -4.5 or 126). As you know, portfolio betas should be somewhat close to 1, so that may seem like an error. However, with only a few observations (as we have in these portfolios), strange numbers can occur. So, check your work carefully, but it may be correct. If after checking your work the beta looks correct, report that and use it for the Treynor and Jensen measures (and don't forget there are two Benchmarks – Russell 1000 and Class Portfolio - so you'll have two betas).There are two versions of the Sharpe ratio; the original which assumed a constant Risk-free rate, and the revised (modern) version, which allows the risk-free rate to change daily. Use the modernversion (which we went over in class).Report “Excess Return” and “Active Return” as we have discussed in class.The requested Std Dev is the std(Excess Return), therefore the number used in the Sharpe ratio.Tracking error must be calculated using the industry version, as we have done in class. As of thiswriting OTIS reports two versions - the "Long Term Tracking Score", and the "Daily Tracking Score". Their Daily Tracking Score is the industry standard that we use. The TE reported for your portfolio against the Russell1000 will probably be close to correct, but may not be exact, due to the issue with Day 1 and Day 0 (noted above). So, you should calculate this yourself (and of course you have to calculate TE against the Class Portfolio).The required Graph is only for my reference -- it doesn't matter whether you do it in returns (as shown in the template), or in Portfolio Values (as shown in the OTIS performance value graph page). For all calculations requiring standard deviation, variance, or covariance (TE, Sharpe, Beta, etc), use the population version of the formula. (e.g. if using Excel, that means using function STDEVP, rather than STDEV.)The report is due 9 June, 2017, 1pm.You must submit the hardcopy in the provided box outside the main office (near my office).

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