Phil Has a Portfolio with a 13

question 71

Multiple Choice

Phil has a portfolio with a 13.2% total return. The beta of the portfolio is 1.48 and the standard deviation is 13%. Currently, the risk-free rate of return is 4% and the overall market has a total return of 11%. What is the value of Treynor's measure for Phil's portfolio?

• A) 2.1%
• B) 6.2%
• C) 7.1%
• D) 8.9%

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Definitions:

Least Squares Method

A statistical technique used to determine the line of best fit by minimizing the sum of the squares of the distances of the points from the line.

SSE

The sum of squared errors, a measure used in statistical analysis to quantify the variation or dispersion of data points around a fitted line or curve.

Slope

The rate of change in the variable on the y-axis per unit change in the variable on the x-axis in a coordinate plane, indicative of the steepness of a line.

Regression Line

A regression line is a straight line that best describes the data on a scatter plot, providing the best fit for the relationship between the independent and dependent variables.