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- UID
- 222311
- 帖子
- 394
- 主题
- 19
- 注册时间
- 2011-7-2
- 最后登录
- 2016-8-1
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I think the idea here is to choose the BEST answer. Yes, the Treynor Ratio and Jensen's Alpha both use Beta and both basically tell you the same thing, which is a risk adjusted return. But the question is asking us which is most appropriate for evaluating "risk/return performance" So the measure we are looking for is a ratio of risk/return or return/risk. Jensen's Alpha is not a ratio, but the Treynor Ratio is. Treynor is giving us the return per unit of systematic risk. So because Treynor is a ratio, A is a BETTER answer than C.
As for answer B, I don't think we can assume there is no systematic risk despite the description of the fund as "well-diversified." I may be wrong, but I don't think we can ever formally say that ALL non-systematic risk has been diversified away...unless we are holding all securities in the market. |
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发表于 2011-7-13 13:34
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