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# P1.T1.403. Treynor, Sharpe, and alpha calculations

#### Nicole Seaman

##### Director of FRM Operations
Staff member
Subscriber
AIM: Calculate, compare, and evaluate the Treynor measure, the Sharpe measure, and Jensen's alpha.

Questions:

403.1. Assume the slope of the security market line (SML) is 0.060 while the riskfree rate is 2.0%. What is the Treynor measure of a security with an alpha of 2.40% and beta of 0.30?

a. 0.140
b. 0.280
c. 0.560
d. 1.120

403.2. A portfolio with a volatility of 30.0% has a Treynor measure of 0.080. The portfolio has a correlation of 0.50 with the market index which itself has a volatility of 20.0%. What is the portfolio's Sharpe measure?

a. 0.095
b. 0.200
c. 0.330
d. 0.475

403.3. Assume the market index return is 8.0% while the risk-free rate is 3.0%. A portfolio with a volatility of 12.0% has a Sharpe measure of 0.50 and a Treynor measure of 0.20. What is the portfolio's alpha?

a. -2.79%
b. 1.16%
c. 3.83%
d. 4.50%

#### sofiamunshi

##### New Member
Hi Nicole,

I am not a paid member. I would like to give big thanks to you and David for giving us the access for the Today's Daily Questions section. It's a great help.But I am not getting the access for the answer link. Could you please help me out for this.
Thanks, Sofia

#### David Harper CFA FRM

##### David Harper CFA FRM
Staff member
Subscriber
Hi Sofia, thank you for liking the questions! You are not supposed to have access to the full Q&A , sorry: the lower forum nodes (including full Q&A threads) are protected for paid members. Thanks,