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: bchadwick 时间: 2013-5-3 13:20
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: Palantir 时间: 2013-5-3 13:21
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)作者: busterbluth 时间: 2013-5-3 13:23
A- Mang B high nonsysymtc risk, A hasmore systematic risk, so B perofrms worse when standart dev is used..
B-if portfolio is not well divsfied, better to use sharpe because it uses total risk both systmtc and non systmtc…
treynor is good to use if portfolio is diversified and onlu risk is sysmtc which is covered by beta
