Question: Average Annual Standard Portfolio Return (%) Deviation Beta 1 14 21 0.85 2 16 24 1.00 3 17 28 1.30 S&P 500 12 90-day T-bill

Average Annual Standard Portfolio Return (%) Deviation Beta 1 14 21 0.85 2 16 24 1.00 3 17 28 1.30 S&P 500 12 90-day T-bill 6 Given the above data, rank portfolios 1-3 from the highest risk-adjusted return to the lowest risk-adjusted return using the Treynor Ratio.

A. Portfolio 1; Portfolio 2; Portfolio 3

B. Portfolio 2; Portfolio 1; Portfolio 3

C. Portfolio 3; Portfolio 2; Portfolio 1

D. Portfolio 1; Portfolio 3; Portfolio 2 E. None of the above

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