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 10.7 percent and the risk-free rate is 3.4 percent. What is the Treynor ratio? In words, what does this mean?

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 10.7 percent and the risk-free rate is 3.4 percent. What is the Treynor ratio? In words, what does this mean?

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 14P

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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 10.7 percent and the risk-free rate is 3.4 percent. What is the Treynor
ratio?
In words, what does this mean?

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