Zestt

ridgefield Wrote:
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> probably also important to note that if the m2
> measure is greater than the market return, the
> portfolio will plot above the cml.
>
> i've seen the diversification issue with treynor
> come up a few times now. if you're assessing the
> performance of a diversified portfolio, sharpe is
> more appropriate because diversified portfolio
> assumes all non-systemic risk has been diversified
> away. on the other hand, if you're evaluating a
> small or non-diversifed, portfolio, treynor is the
> better metric because it takes into account
> specific risk (non-systemic).

I think you meant other way around, right?