Suppose two portfolios have the same average return,the same standard deviation of returns,but Aggie Fund has a higher beta than Raider Fund.According to the Treynor measure,the performance of Aggie Fund
A)is better than the performance of Raider Fund.
B)is the same as the performance of Raider Fund.
C)is poorer than the performance of Raider Fund.
D)cannot be measured as there is no data on the alpha of the portfolio.
E)none of the above is true.

Question

Quizplus · Accepted Answer

The Treynor measure evaluates performance based on the risk taken, measured by beta. A higher beta implies higher risk, so with the same return, Aggie Fund has poorer performance.

Suppose Two Portfolios Have the Same Average Return,the Same Standard