Suppose Two Portfolios Have the Same Average Return and the Same

question 30

Multiple Choice

Suppose two portfolios have the same average return and the same standard deviation of returns, but Roll Tide Fund has a higher beta than Arc Fund. According to the Treynor measure, the performance of Roll Tide Fund

• A) is better than the performance of Arc Fund.
• B) is the same as the performance of Arc Fund.
• C) is poorer than the performance of Arc Fund.
• D) cannot be measured as there are no data on the alpha of the portfolio.

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Definitions:

Cross-sectional Data

A type of data collected by observing many subjects at the same point of time or without regard to differences in time.

Synchronous Data

Data that is collected or updated at the same time across the system or in a coordinated manner.

Cross-sectional Data

Data collected from a population at a specific point in time, used to observe variations among subjects.

Time-series Data

Data points collected or recorded at regular time intervals, allowing for the analysis of patterns, trends, and forecasting over time.