问题如下:
Which of the following performance measures is consistent with the CAPM?
选项:
A.M-squared.
B.Sharpe ratio.
C.Jensen’s alpha.
解释:
C is correct.
Jensen’s alpha adjusts for systematic risk, and M-squared and the Sharpe Ratio adjust for total risk.
请问老师为什么不是M squared呢,还有想问M squared 视频里总结的时候说可以根据自身大小判断业绩,即讲义63页第一句,但是在讲M^2的的时候不是也跟大盘收益率做的比较吗,那不就不是根据自身大小判断了吗,还是所说的不用比较是不跟别的portfolio比较但是是可以跟大盘比较的?谢谢