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.作者: oneboy 时间: 2011-7-13 13:36
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.作者: aidebaobao 时间: 2011-7-13 13:36
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)
