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Question 49 For a given portfolio, the expected return is 10% with a standard deviation of 15%. The beta of the portfolio is 0.75. The expected return of the market is 11% with a standard deviation of 18%. The risk-free rate is 4%. The portfolio's Treynor measure is closest to: | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

The formula for the Treynor measure is:

\left[ \frac{E(R_P) - R_F}{\beta_P} \right]

Thus, the value for the Treynor measure in this case is $(0.10 - 0.04) / 0.75 = 0.08$ .

(Book 1, Module 5.3, LO 5.g)

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Question 49
For a given portfolio, the expected return is 10% with a standard deviation of 15%. The beta of the portfolio is 0.75. The expected return of the market is 11% with a standard deviation of 18%. The risk-free rate is 4%. The portfolio's Treynor measure is closest to:

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