Suppose two portfolios have the same average return

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11. Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a lower beta than portfolio B. According to the Treynor measure, the performance of portfolio A __________. A. is better than the performance of portfolio B B. is the same as the performance of portfolio B C. is poorer than the performance of portfolio B D. cannot be measured as there is no data on the alpha of the portfolio E. none of the above is true. The Treynor index is a measure of average portfolio returns (in excess of the risk free return) per unit of systematic risk (as measured by beta). Difficulty: Moderate 24-6
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Chapter 24 - Portfolio Performance Evaluation 12. Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund. According to the Sharpe measure, the performance of Aggie Fund The Sharpe index is a measure of average portfolio returns (in excess of the risk free return) per unit of total risk (as measured by standard deviation). Difficulty: Moderate 13. Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund. According to the Treynor measure, the performance of Aggie Fund The Treynor index is a measure of average portfolio returns (in excess of the risk free return) per unit of systematic risk (as measured by beta). Difficulty: Moderate 24-7
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Chapter 24 - Portfolio Performance Evaluation 14. Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a lower beta than Raider Fund. According to the Treynor measure, the performance of Aggie Fund The Treynor index is a measure of average portfolio returns (in excess of the risk free return) per unit of unit of systematic risk (as measured by beta). Difficulty: Moderate
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