If an investment has a correlation coefficient of 0.80 with the market, which of the following performance measures is the best measure of risk? A) Sharpe ratio B) Information ratio C) Jensen's alpha D) Treynor ratio
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A correlation coefficient of 0.80 indicates a strong positive relationship between the investment's returns and the market's returns. This suggests that the investment is likely to move in the same direction as the market. Show more…
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The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: Long Horn Market Portfolio Average return: 19% 12% Standard deviations of returns: 35% 15% Beta: 1.5 1.0 Residual standard deviation: 3.0% 0.0% The risk-free return during the sample period was 6%. What is the Treynor measure of performance evaluation for Long Horn Stock Fund? a. 0.0133 b. 0.04 c. 0.0867 d. 0.3143 e. 0.3714
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