Your Portfolio Has a Beta of 1

question 59

Multiple Choice

Your portfolio has a beta of 1.24, a standard deviation of 14.3 percent, and an expected return of 12.5 percent. The market return is 11.3 percent and the risk-free rate is 3.1 percent. What is the Treynor ratio?

• A) .015
• B) .076
• C) .109
• D) .482
• E) .510