Suppose Two Portfolios Have the Same Average Return,the Same Standard

question 77

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 is no data on the alpha of the portfolio
• E)none of the above is true.

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