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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