A portfolio has an average return of 9.7 percent, a standard deviation of 8.6 percent, and a beta of .72. The risk-free rate is 2.1 percent. What is the Treynor ratio?
Refer: To: 13-72
A) 0.098
B) 0.106
C) 0.121
D) 0.636
E) 0.884

Question

Quizplus · Accepted Answer

The Treynor ratio is calculated as (Portfolio Return - Risk-Free Rate) / Beta. Using the given values: (9.7% - 2.1%) / 0.72 = 7.6% / 0.72 = 0.105555... which rounds to 0.106.

A Portfolio Has an Average Return of 9