What Is the Treynor Ratio of a Portfolio Comprised of 40

question 102

Multiple Choice

What is the Treynor ratio of a portfolio comprised of 40% Portfolio A, 25% Portfolio B, and 35% Portfolio C?
$\begin{array}{lccrr}\text { Asset } & \text { Weight } & \text { Avg Return } & \text { Std Dev } & \text { Beta } \\\text { A } & 40 \% & 15.30 \% & 17.20 \% & 1.56 \\\text { B } & 25 \% & 10.50 \% & 9.80 \% & .95 \\\text { C } & 35 \% & 13.30 \% & 14.10\% &1.25\end{array}$

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

• A).054
• B).062
• C).070
• D).081
• E).102

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Definitions:

Bill of Materials

A comprehensive list of materials, components, and instructions required to construct, manufacture, or repair a product or service.

Direct Material

Raw materials that are directly attributed to the production process and are a significant component of the finished product.

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Job Costing System

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