题目
A portfolio has a correlation of 0.40 with the overall market and produces a Sharpe ratio of 0.2. If the market’s volatility is 20%, what is the portfolio’s Treynor ratio?
选项
A.4.0%
B.6.0%
C.10.0%
D.Not enough information.
答案
C
解析
Treynor ratio=0.2×20%/0.4=10%特雷诺比率=0.2×20%/0.4=10%