Question

You want to evaluate three mutual funds using the Treynor measure for performance evaluation. The risk-free return during the sample period is 6%. The average returns, standard deviations, and betas for the three funds are given below, in addition to information regarding the S&P 500 Index.  Average ReturnResidual  Standard Deviation  Beta  Fund A 13%10%0.5Fund B 19%20%1.0 Fund C25%30%1.5S&P 50018%16%1.0\begin{array}{cc}  &	ext {Average ReturnResidual   } &	ext { Standard Deviation  }&	ext { Beta }\ 	ext { Fund A } &13\%&10\%&0.5\ 	ext {Fund B  } &19\%&20\%&1.0\ 	ext { Fund C} &25\%&30\%&1.5\	ext {S\&P 500}&18\%&16\%&1.0\end{array} Fund A Fund B  Fund CS&P 500​Average ReturnResidual 13%19%25%18%​ Standard Deviation 10%20%30%16%​ Beta 0.51.01.51.0​ 
 The fund with the highest Treynor measure is

Accepted Answer

A)   Fund A.
B)   Fund B.
C)   Fund C.
D)   Funds A and B (tied for highest) .
E)   Funds A and C (tied for highest) . F) C) and E)
G) A) and E)

Exam 24: Portfolio Performance Evaluation

Correct Answer
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Exam 24: Portfolio Performance Evaluation

Correct AnswerverifiedShow Answer

Correct Answer
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