The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below.
-What is the T² measure for portfolio A?

Question

The risk free rate, average returns, standard deviations and betas for three funds and the S&P500 are given below. -What is the T² measure for portfolio A? A) 12.4% B) 2.38% C) 0.91% D) 3.64%

Quizplus · Accepted Answer

The T² measure, also known as the Treynor ratio, is calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio's beta. The correct value based on the given options is 2.38%.

The Risk Free Rate, Average Returns, Standard Deviations and Betas