不理解B选项

NO.PZ2023091901000052

问题如下：

Two portfolios that have the same expected return are benchmarked to the same market index. In comparing these two portfolios, which of the following statements about performance measures is correct?

选项：

The portfolio with the higher beta will have the higher Treynor ratio.

Jensen’s alpha is particularly well suited for comparing portfolios with different levels of risk.

The portfolio with the higher volatility will have the higher Sharpe ratio but the lower Treynor ratio

There is an exact linear relationship between the Treynor ratio and Jensen’s alpha for each portfolio

解释：

可以详细解释下B选项是什么意思吗

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1 个答案

pzqa27 · 2024年06月27日

嗨，努力学习的PZer你好：

Jensen’s alpha等于Rp - Rf - beta*（Rm-Rf）

Treynor ratio=(Rp-Rf)/ beta

就可以发现Jensen’s alpha除以beta的话，就等于Treynor ratio - (Rm-Rf）。

这就推出D选项所谓的线性关系： [Treynor ratio- (Rm-Rf) ] *beta = Jensen’s alpha 其中 (Rm-Rf)可以认为是一个市场上的常数。

至于B， Jensen’s alpha顾名思义它其实是衡量的相对benchmark的超额收益，而不是B说的承担不同风险情况向的对比。

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NO.PZ2023091901000052 问题如下 Two portfolios thhave the same expectereturn arebenchmarketo the same market inx. In comparing these two portfolios, whichof the following statements about performanmeasures is correct? A.The portfolio with the higher beta will have thehigher Treynor ratio. B.Jensen’s alpha is particularly well suiteforcomparing portfolios with fferent levels of risk. C.The portfolio with the higher volatility will have thehigher Sharpe ratio but the lower Treynor ratio There is exalinerelationship between theTreynor ratio anJensen’s alpha for eaportfolio 还有为什么B不正确？

2023-10-27 16:02 1 · 回答

不理解B选项

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