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Joe is reviewing the investment performance of four mutual funds (A, B, C, and D). Based on a risk-free rate of 3 percent and the
Joe is reviewing the investment performance of four mutual funds (A, B, C, and D). Based on a risk-free rate of 3 percent and the systematic risk of each of the portfolios, which one of the funds has the highest systematic risk-adjusted return? (Alternatively, which one has the highest Treynor ratio?)
Return | Std Deviation | Beta | |
Portfolio A | 10.0% | 19.0% | 0.90 |
Portfolio B | 12.0% | 40.0% | 0.70 |
Portfolio C | 18.0% | 30.0% | 1.25 |
Portfolio D | 22.0% | 25.0% | 1.80 |
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