The appropriate performance measure depends on the role of the portfolio to be evaluated. Appropriate performance measures

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The appropriate performance measure depends on the role of the portfolio to be evaluated.

Appropriate performance measures are as follows:

a. Sharpe: When the portfolio represents the entire investment fund.

b. Information ratio: When the portfolio is an active portfolio to be optimally mixed with the passive portfolio.

c. Treynor: When the portfolio is one subportfolio of many.

d. Jensen (alpha): All of these measures require a positive alpha for the portfolio to be considered attractive.

.P-96

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Question Posted: Jul 31, 2024 06:00 AM

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The appropriate performance measure depends on the role of the portfolio to be evaluated. Appropriate performance measures

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ISE Investments

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