A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market rate of return is 12%, the standard deviation is 20%, and the market's Treynor measure is 0.10. What is the value of the Treynor measure of this portfolio? What is the information ratio of this portfolio? O a. 5%, -0.065 O b. 5%, 0.065 O. c. 9%, 0.167 O d. 5%, -0.167

A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market rate of return is 12%, the standard deviation is 20%, and the market's Treynor measure is 0.10. What is the value of the Treynor measure of this portfolio? What is the information ratio of this portfolio? O a. 5%, -0.065 O b. 5%, 0.065 O. c. 9%, 0.167 O d. 5%, -0.167

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter6: Risk And Return

Section: Chapter Questions

Problem 14P: You have observed the following returns over time: Assume that the risk-free rate is 6% and the...

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A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market rate of return is 13.5%, the standard deviation is 20%, and the market's Treynor measure is 0.10. What is the value of the Treynor measure of this portfolio? What is the information ratio of this portfolio? O a. 2%, 0.103 O b. 5%, -0.167 O c. 5%, 0.167 O d. 2%, -0.103 Next page
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