Jane manages a foundation. The foundation outsources all its money management to external fund managers. She is comparing two funds: Acme and Roadrunner.

In reviewing the performance of her managers she finds that the Acme fund did really well on the Treynor measure but quite poorly on the Sharpe measure compared to Roadrunner

On the other hand, the Roadrunner fund did much better than Acme on the Sharpe measure but not as well on the Treynor measure.

What is most likely the explanation for the conflicting performance results for these two funds?

Question $12$Answer

a$.$

They are using different benchmarks to measure the performance.

b$.$

Acme is large cap value, while Roadrunner is large cap growth.

c$.$

Acme is likely to be less diversified than Roadrunner.

d$.$

The risk premium was different for Acme and Roadrunner

e$.$

Roadrunner is likely to be less diversified than Acme.