A Portfolio Has a Standard Deviation of 15

question 18

Multiple Choice

A portfolio has a standard deviation of 15.1%, a beta of 1.12, and a Treynor ratio of .085. The risk-free rate is 2.2%. What is the portfolio's expected rate of return?

• A)10.83%
• B)11.38%
• C)11.72%
• D)12.41%
• E)12.56%

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Definitions:

Income Statement

A financial statement that shows a company's revenues and expenses over a specific period, resulting in net profit or loss.

Current Asset

Short-term assets such as cash, inventory, and receivables that are expected to be liquidated or turned into cash within a short period, typically within a year.

Property, Plant, And Equipment

Tangible assets used in a company's operations that have a useful life of more than one year.

Current Liability

Short-term financial obligations that are due within one year or within the normal operating cycle.