Assume that you have a series of 12 raw monthly returns in excess of the risk-free rate. The mean monthly return that you calculate is -0.002. The monthly standard deviation of this return series is 0.189. The beta of this return series is 1.48. What is the monthly Treynor ratio of this return series? Round your answer to three decimal places.
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In this case, the mean monthly return is -0.002 and we assume the risk-free rate is 0. Therefore, the excess return is -0.002 - 0 = -0.002. Show more…
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