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pawn

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tT
发表于 2011-7-13 13:36 | 只看该作者

Quiz - Manager Evaluation w/ Risk Metrics

likely, respect, reason
Evaluate the performance of Manager A and Manager B. Manager A outperforms on the basis of Sharpe ratio while Manager B outperforms with respect to Treynor.

A: Explain the likely reason for the respective managers out performance.

B: Explain which performance metric is appropriate when a client's portfolio is NOT adequately diversified.
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oneboy

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发表于 2011-7-13 13:36 | 只看该作者
A: Manager B has more unsystematic risk in his Portfolio.

B: Sharpe Ratio because it uses standard deviation which is a measure of total risk.

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aidebaobao

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发表于 2011-7-13 13:36 | 只看该作者
A - Manager A has lower standard deviation, while manager B has lower Beta... Manager A has a better diversified portfolio.

B - The sharpe is preferred when not totally diversified (or some ratio that uses standard deviation rather than Beta)

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