Suppose Two Portfolios Have the Same Average Return, the Same

question 38

Multiple Choice

Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a higher beta than portfolio B.According to the Treynor measure, the performance of portfolio A

• A)is better than the performance of portfolio B.
• B)is the same as the performance of portfolio B.
• C)is poorer than the performance of portfolio B.
• D)cannot be measured as there are no data on the alpha of the portfolio.
• E)None of the options

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