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An analyst has generated the following information about risk/return performance using the Sharpe ratio and the Treynor measure: Equity Fund S&P 500 Sharpe ratio 0.47 0.42 Treynor measure 0.31 0.34 Which of the following statements about the relative risk/return performance of the funds is TRUE? The: A. Treynor measure shows the fund outperformed the S&P 500 on a systematic risk-adjusted basis. B. Sharpe ratio shows the equity fund underperformed the S&P 500 on a systematic risk-adjusted basis. C. Sharpe ratio shows the equity fund outperformed the S&P 500 on a total risk- adjusted basis. D. Treynor measure shows the fund underperformed the S&P 500 on a total risk-adjusted basis. |