pennyless

I made a new example, the old one seemed too sloppy:

RF Rate = 3

Portfolio A return = 25
Portfolio B return = 20

Portfolio A SD = 30
Portfolio B SD = 25

Portfolio A Sharpe = (25-3)/30 = .73
Portfolio B Sharpe = (20-3)/25 = .68

Portfolio A Beta = 1.7
Portfolio B Beta = 1.2

Portfolio A Treynor = (25-3)/1.7 = 12.94
Portfolio B Treynor = (20-3)/1.2 = 14.17

So, 1 is true (unless I'm assuming something in all these calcs that I shouldn't be). If I lower Portfolio A's beta to 1.2, the Treynor measure will actually be higher. The only way to force it down is to increase beta.

NO EXCUSES