王同學(xué)
2020-02-29 23:50請(qǐng)問(wèn)這道題的正確解析是什么?
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
錦年助教
2020-03-02 16:21
該回答已被題主采納
同學(xué)你好，這題附的解析是沒(méi)有問(wèn)題的。
The Treynor measure is most appropriate for comparing well-diversified portfolios. That is, the Treynor measure is the best to compare the excess returns per unit of systematic risk earned by portfolio managers, provided all portfolios are well-diversified. All three portfolios managed by Donaldson Capital Management are clearly less diversified than the market portfolio. Standard deviation of returns for each of the three portfolios is higher than the standard deviation of the market portfolio, reflecting a low level of diversification. Jensen’s alpha is the most appropriate measure for comparing portfolios that have the same beta. The Sharpe measure can be applied to all portfolios because it uses total risk and it is more widely used than the other two measures. Also, the Sharpe ratio evaluates the portfolio performance based on realized returns and diversification. A less-diversified portfolio will have higher total risk and vice versa.
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