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

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

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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