A portfolio has a variance of 0.031050,a beta of 1.40,and an expected return of 13.3 percent.What is the Treynor ratio if the expected risk-free rate is 4.5 percent?
A) 0.055
B) 0.063
C) 0.367
D) 0.498
E) 0.512

Name: A portfolio has a variance of 0.031050,a beta of 1.40,and an expected return of 13.3 percent.What is the Treynor ratio if the expected risk-free rate is 4.5 percent? A) 0.055 B) 0.063 C) 0.367 D) 0.498 E) 0.512
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Question

Quizplus · Accepted Answer

Treynor ratio = (0.133 − 0.045) / 1.40 = 0.0629

A Portfolio Has a Variance of 0