Consider the Treynor-Black Model

question 25

Multiple Choice

Consider the Treynor-Black model. The alpha of an active portfolio is 3%. The expected return on the market index is 18%. The standard deviation of the return on the market portfolio is 25%. The nonsystematic standard deviation of the active portfolio is 15%. The risk-free rate of return is 6%. The beta of the active portfolio is 1.2. The optimal proportion to invest in the active portfolio is

• A) 50.0%.
• B) 69.4%.
• C) 72.3%.
• D) 80.6%.
• E) 100.0%.

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Definitions:

On-Brand Behaviour

Actions or strategies by individuals or companies that are consistent with the brand's values, identity, and messaging.

Firm Culture

The shared values, attitudes, standards, and beliefs that characterize members of an organization and define its nature.

Brand Audit

A comprehensive examination of a brand's current position in the market compared to its competitors and a review of its effectiveness.

Firm Activities

Actions or tasks undertaken by a business in pursuit of its goals, which can range from operational to strategic in nature.