A portfolio generates an annual return of 13%,a beta of 0.7 and a standard deviation of 17%.The market index return is 14% and has a standard deviation of 21%.What is the Treynor measure of the portfolio if the risk free rate is 5%?
A) .1143
B) .1233
C) .1354
D) .1477

Question

Quizplus · Accepted Answer

The Treynor measure is calculated as (Portfolio Return - Risk-Free Rate) / Beta. Here, it is (13% - 5%) / 0.7 = 0.1143.

A Portfolio Generates an Annual Return of 13%,a Beta of 0.7