The USTreasury Bill Is Yielding 3

question 58

Multiple Choice

The U.S.Treasury bill is yielding 3.0 percent and the market has an expected return of 11.6 percent.What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.02,and a standard deviation of 12.2 percent?

• A) 0.074
• B) 0.086
• C) 0.102
• D) 0.619
• E) 0.628

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