A portfolio has a variance of .027556,a beta of 1.54,and an expected return of 11.2 percent.What is the Treynor ratio if the expected risk-free rate is 2.7 percent?
A).055
B).063
C).367
D).498
E).512

Name: A portfolio has a variance of .027556,a beta of 1.54,and an expected return of 11.2 percent.What is the Treynor ratio if the expected risk-free rate is 2.7 percent? A).055 B).063 C).367 D).498 E).512
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Question

Quizplus · Accepted Answer

Treynor ratio = (.112 - .027)/1.54 = .055

A Portfolio Has a Variance of