Your portfolio has a beta of 1.05, a standard deviation of 14.3%, and an expected return of 14.5%. The market return is 11.3% and the risk-free rate is 3.1%. What is the Treynor ratio?
A).015
B).080
C).109
D).482
E).510

Question

Quizplus · Accepted Answer

The Treynor ratio is calculated as follows:
Treynor ratio = (Expected portfolio return - Risk-free rate) / Portfolio beta
= (14.5% - 3.1%) / 1.05
= 10.4% / 1.05
= 9.90%
Therefore, the Treynor ratio for this portfolio is 9.9%, which is option C.

Your Portfolio Has a Beta of 1