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vfiekz [6]
3 years ago
13

The U.S. Treasury bill is yielding 3.0 percent and the market has an expected return of 11.6 percent. What is the Treynor ratio

of a portfolio that has a beta of 1.02, and a standard deviation of 12.2 percent?
Business
1 answer:
Setler79 [48]3 years ago
6 0

Answer:

Treynor ratio = <u>Market return - Risk-free rate</u>

                                  Portfolio beta

                      = <u>11.6 - 3.0</u>

                           1.02

                      = 8.43%

Explanation:

Treynor ratio is the ratio of risk-premium to portfolio beta. Risk-premium is the excess of market return over risk-free rate, Treynor ratio is used for measuring the performance of a portfolio.

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