Question
The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: Monarch Market Portfolio Average return 16 % 12
The following data are available relating to the performance of Monarch Stock Fund and the market portfolio:
| Monarch | Market Portfolio | ||||||||||
| Average return | 16 | % | 12 | % | |||||||
| Standard deviations of returns | 26 | % | 22 | % | |||||||
| Beta | 1.15 | 1.00 | |||||||||
| Residual standard deviation | 1 | % | 0 | % | |||||||
The risk-free return during the sample period was 4%. Calculate Treynor's measure of performance for Monarch Stock Fund.
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Finance A Quantitative Introduction Volume 1
Authors: Piotr Staszkiewicz, Lucia Staszkiewicz
1st Edition
0128015845, 978-0128015841
