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You are given the following information: stock A stock B Market variance 3.28% 8.74% 5% return 35% 12% 7% beta 1.36 0.91 tracking error 7%

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You are given the following information: stock A stock B Market variance 3.28% 8.74% 5% return 35% 12% 7% beta 1.36 0.91 tracking error 7% 3% The risk-free rate is 2%. The correlation between A and B is 3. Suppose you invest 0.40 in A and 1- 0.40 in B, compute the Treynor Measure of the resulting portfolio

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