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Which of the following statements about risk/return investment manager performance measures is least accurate? A. The Treynor measure includes company-specific risk as part of its performance measurement. B. The Sharpe measure includes company-specific risk as part of its performance measurement. C. When measuring the performance of an equity fund, if the Sharpe ratio is 0.55, and the Treynor measure is 0.47, the difference is attributable to unsystematic (company-specific) risk. |