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21 July, 14:26

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?

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  1. 21 July, 18:14
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    Treynor ratio = Market return - Risk-free rate

    Portfolio beta

    = 11.6 - 3.0

    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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