标题: Difference between Sharpe's ratio, Treynor's ratio and Jense [打印本页] 作者: EastCoastJ 时间: 2013-8-9 09:36 标题: Difference between Sharpe's ratio, Treynor's ratio and Jense
I’m kinda getting confused between the three. From what I gather, Sharpe’s measures excess return on risky portfolios. Treynor’s measures excess return compared to riskless portfolios. And Jensen’s measures excess returns over CAPM and portfolio beta. Is this correct? If not can someone please simplify these three for me.作者: Analyze_This 时间: 2013-8-9 09:36
From what i gather…
Sharpe measures excess return over total risk (std dev of portfolio)
Treynor mesaures excess return over market (beta)
Jensens Alpha measures excess over CAPM expected return作者: hoangvu90 时间: 2013-8-9 09:36
Remember: Treynor’s only appropriate for well-diversified portfolios.作者: bchadwick 时间: 2013-8-9 09:37
“Correct me if I am wrong but I believe you have this backwards. I was under the impression that systematic risk (beta) cannot be diversified away but non-systematic risk can be diversified away?”
You are correct.作者: AndyNZ 时间: 2013-8-9 09:37
Beta is the porfolio’s COV(a,b)/market standard deviation
Doesn’t that mean B is non-systematic risk? If the market falls by 100, and you have a B of 1, your portfolio will fall by 100.
