What is the Treynor Ratio of a portfolio comprised of 40% portfolio A, 25% portfolio B, and the risk-free rate is 2.5% and the market risk premium is 8.4%? Asset Weight Avg Return Std Dev B 1 40% 15.30% 17.20% 1.25 2 25% 10.5% 9.80% 1.3 3 35% 13.3% 14.10% 0.95
Added by Gonzalo E.
Step 1
First, we need to calculate the portfolio's average return. We can do this by multiplying each asset's weight by its average return and summing the results: Portfolio average return = (0.4 x 0.153) + (0.25 x 0.105) + (0.35 x 0.133) = 0.128 or 12.8% Show more…
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