The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%, the market volatility is 10.90%, and the correlation between NXP returns and market returns is 0.79. What is the Treynor ratio for NXP?
The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%, the market volatility is 10.90%, and the correlation between NXP returns and market returns is 0.79. What is the Treynor ratio for NXP?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%, the market volatility is 10.90%, and the correlation between NXP returns and market returns is 0.79. What is the Treynor ratio for NXP?
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The reward-to-volatility ratio, also known as the Treynor ratio, gauges how much excess return a portfolio generates per unit of associated risk. Any investment return that exceeds what it could have earned in a risk-free environment is known as an excess return.
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