Suppose you have invested 15 million; 5 million in active, passive and market portfolios. RORs (for 5 weeks) for each portfolio are given below. Draw the CML line by calculating excess returns for active portfolio only. The annual T-bills rate for 3 months is 7%. Rank the portfolios using Trynor ratio only.

RORs

Weeks Active Passive Index

0

1 2% 1% 1.5%

2 1 -2 3

3 2 0 0

4 3 2 1

5 4 2 3