Suppose two portfolios have the same average return and 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 are no data on the alpha of the portfolio.
E. None of the options are correct.
A. is better than the performance of portfolio B.
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).
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