A portfolio has a variance of 0.04050,a beta of 1.60,and an expected return of 14.3 percent.What is the Treynor ratio if the expected risk-free rate is 5.5 percent?
A) 0.055
B) 0.063
C) 0.367
D) 0.498
E) 0.512

Name: A portfolio has a variance of 0.04050,a beta of 1.60,and an expected return of 14.3 percent.What is the Treynor ratio if the expected risk-free rate is 5.5 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 = (0.143 − 0.055) / 1.60 = 0.0550

A Portfolio Has a Variance of 0