The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%, the market volatility is 10.90%, and the correlation between NXP returns and market returns is 0.79. What is the Treynor ratio for NXP?

The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%, the market volatility is 10.90%, and the correlation between NXP returns and market returns is 0.79. What is the Treynor ratio for NXP?

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter6: Risk And Return

Section: Chapter Questions

Problem 14P: You have observed the following returns over time: Assume that the risk-free rate is 6% and the...

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Question

The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%, the market volatility is 10.90%, and the correlation between NXP returns and market returns is 0.79. What is the Treynor ratio for NXP?

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