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42) A portfolio has an average return of 12.4 percent, a standard deviation of 15.8 percent, and a
beta of 1.35. The risk-free rate is 2.6 percent. What is the Sharpe ratio?
A) 0.49
B) 0.52
C) 0.62
D) 0.71
E) 0.75
43) A portfolio has a beta of 1.26, a standard deviation of 15.9 percent, and an average return of
15.07 percent. The market rate is 12.7 percent and the risk-free rate is 3.6 percent. What is the
Sharpe ratio?
A) 0.61
B) 0.68
C) 0.72
D) 0.84
E) 0.88
44) The U.S. Treasury bill is yielding 2.5 percent and the market has an expected return of 9.0
percent. What is the Sharpe ratio of a portfolio that has a beta of 1.25 and a variance of 0.0218?
A) 0.55
B) 0.60
C) 0.69
D) 0.74
E) 0.82
45) A portfolio has a beta of 1.23 and a standard deviation of 11.6 percent. What is the Sharpe
ratio if the market return is 12.4 percent and the market risk premium is 7.9 percent?
A) 0.07
B) 0.11
C) 0.65
D) 0.84
E) 0.90
46) A portfolio has a variance of 0.0165, a beta of 1.05, and an expected return of 12.65 percent.
What is the Sharpe ratio if the expected risk-free rate is 3.4 percent?
A) 0.66
B) 0.70
C) 0.72
D) 0.82
E) 0.86
47) A portfolio has a Sharpe ratio of 0.75, a standard deviation of 17.0 percent, and an expected
return of 15.9 percent. What is the risk-free rate?
A) 1.98 percent
B) 2.36 percent
C) 2.48 percent
D) 3.09 percent
E) 3.15 percent
48) Your portfolio has an expected return of 14.2 percent, a beta of 1.31, and a standard
deviation of 15.3 percent. The U.S. Treasury bill rate is 3.48 percent. What is the Sharpe ratio of
your portfolio?
A) 0.65
B) 0.67
C) 0.70
D) 0.77
E) 0.83
49) A portfolio has a beta of 1.16, a standard deviation of 12.2 percent, and an expected return of
11.55 percent. The market return is 10.4 percent and the risk-free rate is 3.2 percent. What is the
portfolio's Sharpe ratio?
A) 0.57
B) 0.68
C) 0.73
D) 0.77
E) 0.85
50) Your portfolio has a beta of 1.05, a standard deviation of 14.3 percent, and an expected
return of 14.5 percent. The market return is 11.3 percent and the risk-free rate is 3.1 percent.
What is the Treynor ratio?
A) 0.015
B) 0.080
C) 0.109
D) 0.482
E) 0.510
51) A portfolio has an expected return of 13.8 percent, a beta of 1.14, and a standard deviation of
12.7 percent. The U.S. Treasury bill rate is 3.2 percent. What is the Treynor ratio?
A) 0.093
B) 0.138
C) 0.146
D) 0.835
E) 0.951
52) A portfolio has a Treynor ratio of 0.070, a standard deviation of 16.40 percent, a beta of 1.16,
and an expected return of 14.3 percent. What is the risk-free rate?
A) 1.32 percent
B) 5.21 percent
C) 5.39 percent
D) 6.18 percent
E) 6.41 percent
53) A portfolio has a variance of 0.031050, a beta of 1.40, and an expected return of 13.3
percent. What is the Treynor ratio if the expected risk-free rate is 4.5 percent?
A) 0.055
B) 0.063
C) 0.367
D) 0.498
E) 0.512
54) The U.S. Treasury bill is yielding 3.0 percent and the market has an expected return of 11.6
percent. What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.02, and a
standard deviation of 12.2 percent?
A) 0.074
B) 0.086
C) 0.102
D) 0.619
E) 0.628
55) A portfolio has an average return of 9.7 percent, a standard deviation of 8.6 percent, and a
beta of 0.72. The risk-free rate is 2.1 percent. What is the Treynor ratio?
A) 0.098
B) 0.106
C) 0.121
D) 0.636
E) 0.884
56) A portfolio has a standard deviation of 12.1 percent, a beta of 1.24 and a Treynor ratio of
0.094. The risk-free rate is 3.2 percent. What is the portfolio's expected rate of return?
A) 14.86 percent
B) 15.25 percent
C) 15.42 percent
D) 16.41 percent
E) 16.56 percent
57) The U.S. Treasury bill is yielding 1.85 percent and the market has an expected return of 7.48
percent. What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.33 and a
variance of 0.0045?
A) 0.056
B) 0.064
C) 0.069
D) 0.082
E) 0.087
58) Your portfolio actually earned 6.2 percent for the year. You were expecting to earn 8.6
percent based on the CAPM formula. What is Jensen's alpha if the portfolio standard deviation is
12.1 percent and the beta is 0.93?
A) −3.91 percent
B) −3.40 percent
C) −2.96 percent
D) −2.40 percent
E) −1.87 percent
59) A portfolio has a beta of 1.30 and an actual return of 15.5 percent. The risk-free rate is 3.5
percent and the market risk premium is 8.2 percent. What is the value of Jensen's alpha?
A) −0.86 percent
B) 1.01 percent
C) 1.14 percent
D) 1.23 percent
E) 1.34 percent
60) The U.S. Treasury bill has a return of 2.84 percent while the S&P 500 is returning 10.84
percent. Your portfolio has an actual return of 14.76 percent and a beta of 1.31. What is the
portfolio's Jensen's alpha?
A) −0.47 percent
B) −0.92 percent
C) 1.37 percent
D) 1.44 percent
E) 1.57 percent
61) A diversified portfolio has a beta of 1.47 and a raw return of 14.28 percent. The market
return is 11.74 percent and the market risk premium is 7.85 percent. What is Jensen's alpha of the
portfolio?
A) −1.15 percent
B) −0.86 percent
C) −0.29 percent
D) 0.48 percent
E) 0.62 percent
62) A portfolio has an actual return of 15.17 percent, a beta of 0.90, and a standard deviation of
7.2 percent. The market return is 13.4 percent and the risk-free rate is 2.8 percent. What is the
portfolio's Jensen's alpha?
A) 2.25 percent
B) 2.51 percent
C) 2.67 percent
D) 2.83 percent
E) 3.04 percent
63) A portfolio has a Jensen's alpha of 0.82 percent, a beta of 1.40, and a CAPM expected return
of 13.7 percent. The risk-free rate is 2.5 percent. What is the actual return of the portfolio?
A) 15.5 percent
B) 16.1 percent
C) 16.8 percent
D) 19.6 percent
E) 21.9 percent
64) What is the Treynor ratio of a portfolio comprised of 45 percent portfolio A and 55 percent
portfolio B?
A B
Weight 45% 55%
Avg Return 13.60% 8.40%
Std Dev 17.20% 6.40%
Beta 1.38 0.87
The risk-free rate is 3.12 percent and the market risk premium is 8.5 percent.
A) 0.041
B) 0.058
C) 0.069
D) 0.114
E) 0.136
65) What is the Treynor ratio of a portfolio comprised of 40 percent portfolio A, 25 percent
portfolio B, and 35 percent portfolio C?
Asset Weight Avg Return Std Dev Beta
A 40% 15.30% 17.20% 1.56
B 25% 10.50% 9.80% 0.95
C 35% 13.30% 14.10% 1.25
The risk-free rate is 2.9 percent and the market risk premium is 8.6 percent.
A) 0.054
B) 0.062
C) 0.070
D) 0.081
E) 0.102
66) What is Jensen's alpha of a portfolio comprised of 45 percent portfolio A and 55 percent of
portfolio B?
Portfolio Average Return Standard Deviation Beta
A 18.9% 21.6% 1.92
B 13.2 12.8 1.27
The risk-free rate is 3.1 percent and the market risk premium is 6.8 percent.
A) −1.25 percent
B) 0.47 percent
C) 1.08 percent
D) 1.46 percent
E) 2.04 percent
67) A stock has a return of 16.18 percent and a beta of 1.47. The market return is 10.65 percent
and the risk-free rate is 3.20 percent. What is the Jensen-Treynor alpha of this stock?
A) −1.12 percent
B) −0.17 percent
C) 0.66 percent
D) 1.38 percent
E) 1.59 percent
68) A stock has a return of 16.9 percent, a standard deviation of 11.7 percent, and a beta of 1.50.
The risk-free rate is 2.89 percent and the market risk premium is 8.45 percent. What is the
Jensen-Treynor alpha of this stock?
A) −1.37 percent
B) −1.09 percent
C) −0.48 percent
D) 0.89 percent
E) 1.05 percent
69) A portfolio consists of the following two funds.
Fund A
Fund B
Expected Return
13
%
9
%
Standard deviation
16
%
10
%
Portfolio market value
$
6,000
$
14,000
Correlation (RA,RB)
0.54
Risk-free rate
4
%
What is the Sharpe ratio of the portfolio?
A) 0.39
B) 0.45
C) 0.52
D) 0.60
E) 0.64
