Question 19 (3.334 points) A portfolio has an alpha of 0.30% over the past year. You now that the portfolio generated a positive risk-adjusted return generated a negative return generated a negative risk adjusted return generated a positive return Question 20 (3.334 points) A portfolio with a beta of 1.1 and a standard deviation of returns of 0.30 generated a 9% annual return during a period when the market returned 7% and the risk-free rate was 2%. What was the Treynor measure of risk-adjusted return? 0.064
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The excess return is the portfolio return minus the risk-free rate. In this case, the portfolio return is 9% and the risk-free rate is 2%, so the excess return is 9% - 2% = 7%. Show more…
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