A portfolio has a Treynor ratio of .034, a standard deviation of 10.3%, a beta of 1.55, and an expected return of 17.0%. What is the risk-free rate?
A)10.28%
B)11.31%
C)11.73%
D)12.35%
E)12.59%

Question

Quizplus · Accepted Answer

Treynor ratio = (Expected portfolio return - Risk-free rate)/Portfolio beta
0.034 = (0.17 - Risk-free rate)/1.55
Risk-free rate = 0.17 - 0.034*1.55
Risk-free rate = 0.11473 or 11.73% (rounded to two decimal places)

A Portfolio Has a Treynor Ratio of