Suppose Two Portfolios Have the Same Average Return and the Same

question 57

Multiple Choice

Suppose two portfolios have the same average return and the same standard deviation of returns, but Roll Tide Fund has a lower 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:

Airfares

The cost of a passenger flight ticket.

Winnipeg

A city in Canada, known as the capital of the province of Manitoba, with a diverse economy and cultural scene.

Percent Less

A term indicating a reduction or discount expressed as a percentage of the original price or value.

Shares

Units of ownership interest in a corporation or financial asset that provide for an equal distribution in any profits, if any are declared, in the form of dividends.