题目
Assume the slope of the security market line (SML) is 0.060 while the risk-free rate is 2.0%. What is the Treynor measure of a security with an alpha of 2.40% and beta of 0.30?
选项
A.0.140
B.0.280
C.0.560
D.1.120
答案
A
解析
The slope of the SML is the market's excess return such that the security's excess return is 0.060×0.30 + 2.40%=4.20%The security's Treynor measure is therefore 4.20%/0.30 = 0.140There is one thing we need to pay attention to. Here we cannot use SML formula to calculate the expected return of the security, because the Treynor ratio requires the actual return of the security.SML的斜率是市场的超额收益，因此证券的超额收益为0.060×0.30 2.40％= 4.20％因此，证券的Treynor比率为4.20％/ 0.30 = 0.140我们需要注意一件事。 在这里，我们不能使用SML公式来计算证券的预期收益，因为Treynor比率需要证券的实际收益。