The following four funds are being considered for investment. If Treasury bills (T-bills) yielded 5% during the period, which fund had the highest average annual return?
Fund Treynor Measure Beta Std. Dev. A 0.12 1.10 0.14 B 0.17 1.25 0.21 C 0.21 0.80 0.10
Fund
Treynor Measure
Beta
Std. Dev.
A
0.12
1.10
0.14
B
0.17
1.25
0.21
C
0.80
0.10
Returns
18.2%
26.3%
21.8%
The Treynor Measure = (return of the portfolio – return of risk-free asset)/Beta.Solve for the return of the portfolio.
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