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? O 0.024 O 0.011 O -0.004 O 0.079
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? O 0.024 O 0.011 O -0.004 O 0.079
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
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Transcribed Image Text: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?
0.024
O 0.011
-0.004
0.079
Expert Solution
Step 1
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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