A portfolio has a variance of .03105, a beta of 1.40, and an expected return of 13.3%. What is the Treynor ratio if the expected risk-free rate is 4.5%?
A).055
B).063
C).367
D).498
E).512

Question

Quizplus · Accepted Answer

The Treynor Ratio is calculated as (Expected Return of the Portfolio - Risk-Free Rate) / Beta of the Portfolio. Plugging in the given values: (13.3% - 4.5%) / 1.40 = 8.8% / 1.40 = 0.062857 or approximately .063.

A Portfolio Has a Variance of