Question

The U.S. Treasury bill is yielding 3.0% and the market has an expected return of 11.6%. What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.02 and a standard deviation of 12.2%

Answer 1

Answer: hope this helps

Treynor ratio = Market return - Risk-free rate

                                 Portfolio beta

                     = 11.6 - 3.0

                          1.02

                     = 8.43%

Explanation:

Treynor ratio is the ratio of risk-premium to portfolio beta. Risk-premium is the excess of market return over risk-free rate, Treynor ratio is used for measuring the performance of a portfolio.

Explanation: