Explanation:
The Treynor measure evaluates the excess return earned per unit of systematic risk (Beta). The formula is:
For the Equity Fund:
For the EGX Index:
Difference = Therefore, the correct option is B.
Ultimate access to all questions.
Q.47 Bob Jhonsen is an analyst at Sahara Investment, a large Egyptian Mutual fund. He gathered the following information about the performance of his equity fund and the EGX index over the same time period:
| Equity Fund | EGX Index | |
|---|---|---|
| Return | –12% | –16% |
| Standard Deviation | 15% | 19% |
| Beta | 1.18 | 1.00 |
Assuming a risk-free rate of 6%, the difference between the Treynor measure for the equity fund and the Treynor measure for the EGX Index is closest to:
A
0.15
B
0.07
C
0.37
D
0.29
No comments yet.