alleryStart learning →A portfolio returns 20%, the risk-free rate is 5% and beta is 1.5. What is the Treynor ratio?
- 13.3%
- 10%
- 3.75%
- 25%
Show answer and solution
Correct answer: B. 10%
Excess return of 15 divided by beta of 1.5 equals 10%.
CA Final Asset Allocation — practice questions — page 2
Explore 56 free Asset Allocation questions in CA Final Strategicfinancialmanagement. Open each question or exercise to read its content, reference answers and available explanation.
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Showing questions 31–56 of 56.
A portfolio returns 20%, the risk-free rate is 5% and beta is 1.5. What is the Treynor ratio?Read the answer and worked solution →What is the Treynor ratio mainly used for?Read the answer and worked solution →Treynor-based rankings are most useful when portfolios are sub-portfolios of what?Read the answer and worked solution →Jensen's alpha measures what?Read the answer and worked solution →Which model most commonly supplies the theoretical return in Jensen's alpha?Read the answer and worked solution →Who first used alpha to evaluate mutual fund managers, and when?Read the answer and worked solution →A fund returns 16%, risk-free rate 6%, market 14%, beta 1.2. What is Jensen's alpha?Read the answer and worked solution →Using CAPM, find the expected return with risk-free rate 6%, beta 1.3 and market return 12%.Read the answer and worked solution →A portfolio has 40% in assets of beta 1.5 and 60% in assets of beta 0.9. What is portfolio beta?Read the answer and worked solution →Why do many academics doubt repeated positive alpha is possible?Read the answer and worked solution →Adding Fama-French size and value factors to the market factor gives which alpha?Read the answer and worked solution →In fixed income, duration measures what?Read the answer and worked solution →Macaulay duration is the weighted average time to cash flows using which weights?Read the answer and worked solution →Who set out the idea of duration in a 1938 NBER study?Read the answer and worked solution →A bond has Macaulay duration 5 years and annual yield 8%. What is modified duration?Read the answer and worked solution →What is the Macaulay duration of a 7-year zero-coupon bond?Read the answer and worked solution →Compared with a zero-coupon bond of the same maturity, a coupon bond has what duration?Read the answer and worked solution →A portfolio holds equal present values in bonds of duration 4 and 8. What is portfolio duration?Read the answer and worked solution →What does DV01 express?Read the answer and worked solution →What improves a duration estimate when yields change by a large amount?Read the answer and worked solution →Duration alone becomes less accurate as the yield change does what?Read the answer and worked solution →Effective duration is used for securities such as callable bonds because their what changes with rates?Read the answer and worked solution →Which feature produces negative convexity in a bond?Read the answer and worked solution →Fisher-Weil duration discounts each cash flow at which rate?Read the answer and worked solution →What does key rate duration capture that ordinary duration does not?Read the answer and worked solution →In UK gilt market guides, modified duration is often called what?Read the answer and worked solution →
Worked practice questions
What is the Treynor ratio mainly used for?
- Ranking portfolios
- Pricing bonds
- Computing duration
- Setting tax rates
Show answer and solution
Correct answer: A. Ranking portfolios
It is a ranking criterion only and does not quantify value added by active management.
Treynor-based rankings are most useful when portfolios are sub-portfolios of what?
- A single listed stock
- A fully diversified one
- A single bond ladder
- A cash-only account
Show answer and solution
Correct answer: B. A fully diversified one
Because beta ignores specific risk, rankings suit portfolios that are parts of a broader, fully diversified whole.
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