A portfolio has a standard deviation of 14.1 percent, a beta of 1.45 and a Treynor ratio of .094. The risk-free rate is 3.2 percent. What is the portfolio's expected rate of return?
A) 16.83 percent
B) 17.25 percent
C) 17.77 percent
D) 18.41 percent
E) 18.56 percent

Question

Quizplus · Accepted Answer

The Treynor ratio is calculated as (Expected Return - Risk-Free Rate) / Beta. Rearranging to find the Expected Return: Expected Return = (Treynor Ratio * Beta) + Risk-Free Rate = (0.094 * 1.45) + 3.2% = 16.83%.

A Portfolio Has a Standard Deviation of 14