What is the Treynor ratio of a portfolio comprised of 40% Portfolio A, 25% Portfolio B, and 35% Portfolio C? \(\begin{array}{lccrr} \text { Asset } & \text { Weight } & \text { Avg Return } & \text { Std Dev } & \text { Beta } \\ \text { A } & 40 \% & 15.30 \% & 17.20 \% & 1.56 \\ \text { B } & 25 \% & 10.50 \% & 9.80 \% & .95 \\ \text { C } & 35 \% & 13.30 \% & 14.10\% &1.25 \end{array}\) The risk-free rate is 2.9% and the market risk premium is 8.6%.

A) .054 B) .062 C) .070 D) .081 E) .102 A) .054 B) .062 C) .070 D) .081 E) .102

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Investments Valuation and Management Study Set 1

Exam 13: Performance Evaluation and Risk Management

Exam 1: A Brief History of Risk and Return107 Questions

Exam 2: The Investment Process104 Questions

Exam 3: Overview of Security Tips98 Questions

Exam 4: Mutual Funds and Other Investment Companies112 Questions

Exam 5: The Stock Market109 Questions

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Exam 8: Behavioral Finance and the Psychology of Investing89 Questions

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Exam 10: Bond Prices and Yields104 Questions

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Exam 12: Return, Risk, and the Security Market Line92 Questions

Exam 13: Performance Evaluation and Risk Management102 Questions

Exam 14: Futures Contracts106 Questions

Exam 15: Stock Options109 Questions

Exam 16: Option Valuation78 Questions

Exam 17: Alternative Investments74 Questions

Exam 18: Corporate and Government Bonds114 Questions

Exam 19: Projecting Cash Flow and Earnings111 Questions

Exam 20: Global Economic Activity and Industry Analysis77 Questions

Exam 21: Mortgage-Backed Securities96 Questions

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Which one of the following measures a portfolio's raw return against the expected return based on the Capital Asset Pricing Model?

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Question 101

What is the Treynor ratio of a portfolio comprised of 40% Portfolio A, 25% Portfolio B, and 35% Portfolio C? Asset Weight Avg Return Std Dev Beta A 40\% 15.30\% 17.20\% 1.56 B 25\% 10.50\% 9.80\% .95 C 35\% 13.30\% 14.10\% 1.25 The risk-free rate is 2.9% and the market risk premium is 8.6%.

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