Question
The following data are available relating to the performance of Locke Fund and the market portfolio: Locke Market Portfolio Average return 18% 15% Standard deviations
The following data are available relating to the performance of Locke Fund and the market portfolio:
| Locke | Market Portfolio | |
|---|---|---|
| Average return | 18% | 15% |
| Standard deviations of returns | 25% | 20% |
| Beta | 1.25 | 1.00 |
| Residual standard deviation | 2% | 0% |
The risk-free return during the sample period was 7%. Calculate Treynor's measure of performance for Locke Fund.
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Public Finance and Public Policy
Authors: Jonathan Gruber
5th edition
1464143331, 978-1464143335
