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Which of the following statements about the evaluation of portfolio performance is least accurate? A. The security market line (SML) represents an active investment strategy when Jensen's Alpha is used as the measure for portfolio performance. B. In the decomposition of portfolio performance, a naive portfolio is constructed with its standard deviation set equal to the total risk of the manager's portfolio that is being evaluated. C. When using the Sharpe ratio, the portfolio with the highest capital allocation line (CAL) slope is the best portfolio. |