Question: Suppose two portfolios have the same average return and the same standard deviation of returns, but portfolio A has a higher beta than portfolio B.

Suppose two portfolios have the same average return and the same standard deviation of returns, but portfolio A has a higher beta than portfolio B. Using the Treynor ratio of performance evaluation, which of the following statements is correct:

Group of answer choices:

the Treynor ratio is scaled by the standard deviation of portfolio returns

the performance of portfolio A is worse than the performance of portfolio B

the performance of portfolio A is better than the performance of portfolio B

the performance of portfolio A is the same as the performance of portfolio B

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