
Explanation:
Treynor's ratio =
Treynor's ratio of portfolio =
Treynor's ratio of market =
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Q.2557 Consider the following data for a particular fund for the year 2017:
| Portfolio | Market | |
|---|---|---|
| Average return | 32% | 25% |
| Beta | 1.15 | 1 |
| Standard deviation | 40% | 30% |
| Tracking error σ(e) | 16% | 0% |
| T-Bill rate | 6% |
Determine Treynor's ratio of the portfolio and the market, respectively.
A
0.25 & 0.23
B
0.20 & 0.18
C
0.23 & 0.19
D
0.24 & 0.11
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