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

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

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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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 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
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