Bill Smith is evaluating the performance of four large-cap equity portfolios: funds A, B, C and D. As part of his analysis, Smith computed the Sharp ratio and the Treynor measure for all four funds. Based on his finding, the ranks assigned to the four funds are as follows: Treynor Measure Sharpe Ratio Fund A 1 4 в 2 3 C 3 2 D 4 1 The difference in rankings of funds A and D based on the Sharp ratio and the Treynor measure most likely due to: Different benchmarks used to evaluate each fund's performance. A lack of diversification in fund D as compared to fund A. A lack of diversification in fund A as compared to fund D A difference in risk premiums A difference in systematic risk
Bill Smith is evaluating the performance of four large-cap equity portfolios: funds A, B, C and D. As part of his analysis, Smith computed the Sharp ratio and the Treynor measure for all four funds. Based on his finding, the ranks assigned to the four funds are as follows: Treynor Measure Sharpe Ratio Fund A 1 4 в 2 3 C 3 2 D 4 1 The difference in rankings of funds A and D based on the Sharp ratio and the Treynor measure most likely due to: Different benchmarks used to evaluate each fund's performance. A lack of diversification in fund D as compared to fund A. A lack of diversification in fund A as compared to fund D A difference in risk premiums A difference in systematic risk
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:Bill Smith is evaluating the performance of four large-cap equity portfolios: funds A, B, C and D. As part of his analysis, Smith computed
the Sharp ratio and the Treynor measure for all four funds. Based on his finding, the ranks assigned to the four funds are as follows:
Treynor Measure
Sharpe Ratio
Fund
A
1
4
в
2
3
C
3
2
D
4
1
The difference in rankings of funds A and D based on the Sharp ratio and the Treynor measure
most likely due to:
Different benchmarks used to evaluate each fund's performance.
A lack of diversification in fund D as compared to fund A.
A lack of diversification in fund A as compared to fund D
A difference in risk premiums
A difference in systematic risk
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