A portfolio has an expected return of 13.8 percent, a beta of 1.14, and a standard deviation of 12.7 percent. The U.S. Treasury bill rate is 3.2 percent. What is the Treynor ratio?

51.    A portfolio has an expected return of 13.8 percent, a beta of 1.14, and a standard deviation of 12.7 percent. The U.S. Treasury bill rate is 3.2 percent. What is the Treynor ratio?

 

A.     .093

B.     .138

C.     .146

D.     .835

E.     .951

 

52.    A portfolio has a Treynor ratio of .070, a standard deviation of 16.40 percent, a beta of 1.16, and an expected return of 14.3 percent. What is the risk-free rate?

 

A.     1.32 percent

B.     5.21 percent

C.     5.39 percent

D.     6.18 percent

E.     6.41 percent

 

53.    A portfolio has a variance of .027556, a beta of 1.54, and an expected return of 11.2 percent. What is the Treynor ratio if the expected risk-free rate is 2.7 percent?

 

A.     .055

B.     .063

C.     .367

D.     .498

E.     .512

 

54.    The U.S. Treasury bill is yielding 3.0 percent and the market has an expected return of 11.6 percent. What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.02, and a standard deviation of 12.2 percent?

 

A.     .074

B.     .086

C.     .102

D.     .619

E.     .628

 

55.    A portfolio has an average return of 9.7 percent, a standard deviation of 8.6 percent, and a beta of .72. The risk-free rate is 2.1 percent. What is the Treynor ratio?

 

A.     .098

B.     .106

C.     .121

D.     .636

E.     .884

 

56.    A portfolio has a standard deviation of 14.1 percent, a beta of 1.30 and a Treynor ratio of .094. The risk-free rate is 3.2 percent. What is the portfolio's expected rate of return?

 

A.     14.83 percent

B.     15.25 percent

C.     15.42 percent

D.     16.41 percent

E.     16.56 percent

 

57.    The U.S. Treasury bill is yielding 1.85 percent and the market has an expected return of 7.48 percent. What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.33 and a variance of .0045?

 

A.     .056

B.     .064

C.     .069

D.     .082

E.     .087

 

58.    Your portfolio actually earned 6.2 percent for the year. You were expecting to earn 8.6 percent based on the CAPM formula. What is Jensen's alpha if the portfolio standard deviation is 12.1 percent and the beta is .93?

 

A.     -3.91 percent

B.     -3.40 percent

C.     -2.96 percent

D.     -2.40 percent

E.     -1.87 percent

 

59.    A portfolio has a beta of 1.52 and an actual return of 13.7 percent. The risk-free rate is 2.7 percent and the market risk premium is 7.8 percent. What is the value of Jensen's alpha?

 

A.     -0.86 percent

B.     1.01 percent

C.     1.14 percent

D.     1.23 percent

E.     1.37 percent

 

60.    The U.S. Treasury bill has a return of 2.84 percent while the S&P 500 is returning 10.84 percent. Your portfolio has an actual return of 14.76 percent and a beta of 1.31. What is the portfolio's Jensen's alpha?

 

A.     -0.47 percent

B.     -0.92 percent

C.     1.37 percent

D.     1.44 percent

E.     1.57 percent

                                        

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