EOC Problems 9-10eBookProblem 9-10 Performance RankingConsider the portfolios from the following table:PortfolioExcess Return Standard DeviationBetaBlue10.00%20.00% 0.90Green11.00%22.00% 1.15RedS & P 5007.00%19.00% 0.809.50%18.500% 1.00A) What is the Treynor Index and Sharpe ratio for the Blue portfolio?The Treynor index isand the Sharpe ratio isRound your answer to two decimal places.B) What is the Treynor Index and Sharpe ratio for the Green portfolio?The Treynor index isand the Sharpe ratio isRound your answer to two decimal places.C) What is the Treynor Index and Sharpe ratio for the Red portfolio?The Treynor index isand the Sharpe ratio isRound your answer to two decimal places.D) What is the Treynor Index and Sharpe ratio for the S & P 500 portfolio?The Treynor index isand the Sharpe ratio isRound your answer to two decimal places.Question 5 of 15

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Chapter8: Risk And Rates Of Return

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EOC Problems 9-10
eBook
Problem 9-10 Performance Ranking
Consider the portfolios from the following table:
Portfolio
Excess Return Standard Deviation
Beta
Blue
10.00%
20.00% 0.90
Green
11.00%
22.00% 1.15
Red
S & P 500
7.00%
19.00% 0.80
9.50%
18.500% 1.00
A) What is the Treynor Index and Sharpe ratio for the Blue portfolio?
The Treynor index is
and the Sharpe ratio is
Round your answer to two decimal places.
B) What is the Treynor Index and Sharpe ratio for the Green portfolio?
The Treynor index is
and the Sharpe ratio is
Round your answer to two decimal places.
C) What is the Treynor Index and Sharpe ratio for the Red portfolio?
The Treynor index is
and the Sharpe ratio is
Round your answer to two decimal places.
D) What is the Treynor Index and Sharpe ratio for the S & P 500 portfolio?
The Treynor index is
and the Sharpe ratio is
Round your answer to two decimal places.
Question 5 of 15

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