Question

What is the Treynor ratio of a portfolio comprised of 40 percent portfolio A, 25 percent...

What is the Treynor ratio of a portfolio comprised of 40 percent portfolio A, 25 percent portfolio B, and 35 percent portfolio C?

Asset Weight Avg Return Std Dev Beta
A 40 % 15.30 % 17.20 % 1.56
B 25 % 10.50 % 9.80 % 0.95
C 35 % 13.30 % 14.10 % 1.25

The risk-free rate is 2.9 percent and the market risk premium is 8.6 percent.

Multiple Choice

  • 0.070

  • 0.102

  • 0.054

  • 0.062

  • 0.081

0 0
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