Home › CA Final › strategicfinancialmanagement › Portfolio Management › Treynor ratio: portfolio return 13%, risk-free 5…
Treynor ratio: portfolio return 13%, risk-free 5%, beta 1.6. Treynor ratio equals:
A0.050
B0.080
C0.064
D0.100
Answer & Solution
Correct answer: A. 0.050
1. Identify what the question asks: this concept maps to treynorexample (§11).
2. Apply the framework or formula relevant to the topic.
3. Eliminate distractors and arrive at the correct option (A).
_Source: ICAI BoS CA Final Paper 2, Ch 6 "Portfolio Management"_
Related questions
If APT identifies two factors with sensitivities b1 = 0.7 (industrial production, risk preUsing Sharpe's single-index model, total variance of a stock decomposes into:Stock A has β=0.8 and Stock B has β=1.4. A portfolio with 40% A and 60% B has portfolio beA portfolio holds 50% in market index (β=1, σ=15%) and 50% in T-bills (σ=0). Portfolio staIf the minimum-variance two-asset portfolio weight in asset A equals (σ_B² − ρ σ_A σ_B)/(σPortfolio of two stocks A and B: w_A 0.6, σ_A 18%, w_B 0.4, σ_B 22%, ρ_AB = 1. Portfolio σPortfolio Sharpe ratio: portfolio return 14%, risk-free 6%, portfolio σ 16%. Sharpe ratio A security has beta 1.5; risk-free rate 7%; market risk premium 6%. Required return is: