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Q.88 Portfolio M has the following characteristics: Expected return = 8% Volatility = 15% Beta = 0.8 If the risk-free rate is 4%, what is the Treynor measure of the portfolio? | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

The Treynor measure is given by:

\text{TP} = \frac{\mathrm{E}(R_p) - R_f}{\beta_p} = \frac{8\% - 4\%}{0.8} = \frac{0.04}{0.8} = 0.05

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Q.88 Portfolio M has the following characteristics:

Expected return = 8%
Volatility = 15%
Beta = 0.8

If the risk-free rate is 4%, what is the Treynor measure of the portfolio?