A portfolio with a beta of 0.9 has an expected return of 11 percent and a standard deviation of 24 percent. The expected return of the market is 12 percent, and the risk-free is 5 percent. What is the Treynor ratio for the portfolio?
A) 0.0701
B) 0.0667
C) 0.0775
D) 0.0810
E) 0.0725

Question

Quizplus · Accepted Answer

The Treynor Ratio is calculated as (Portfolio Return - Risk-Free Rate) / Portfolio Beta. For this portfolio, it would be (0.11 - 0.05) / 0.9 = 0.0667.

A Portfolio with a Beta of 0