"Portfolio Management":Treynor ratio and Jensen’s alpha

来源: 正保会计网校编辑：小鞠橘桔 2020/12/08 09:52:30　字体：大小

学习是一个不断积累的过程，每天学习一点，每天进步一点！为了帮助大家更高效地备考2021年CFA考试，正保会计网校每日为大家上新CFA习题供大家练习。让网校与您一起高效备考2021年CFA考试，梦想成真！

Questions 1:

Which of the following portfolio performance measures are the most appropriate for an investor who holds a fully diversified portfolio?

A、Sharpe ratio and Treynor ratio.

B 、Treynor ratio and Jensen’s alpha.

C 、M-Squared and Sharpe ratio.

Questions 2:

A portfolio engages in an investment strategy that relies on a particular element of the tax code to produce superior after-tax returns for high-net-worth individuals. Because of this strategy, the portfolio most likely faces a high level of:

A 、compliance risk.

B 、model risk.

C、 legal risk.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. For an investor who holds a fully diversified portfolio, the Treynor ratio and Jensen’s alpha are the appropriate portfolio performance measures. They are appropriate because in a fully diversified portfolio, only systematic risk matters; both these metrics measure performance relative to beta or systematic risk.

A is incorrect. The Treynor ratio is appropriate for an investor who holds a fully diversified portfolio, but the Sharpe ratio is appropriate for an investor who does not hold a fully diversified portfolio.

C is incorrect because these measures are appropriate for an investor who does not hold a fully diversified portfolio.

【Answer to question 2】A

【analysis】

A is correct. Tax risk, the risk that the tax code could change, along with regulatory and accounting risks together form compliance risk. Legal risk is the risk of being sued or the risk that a court will not uphold an agreement. Model risk is the risk of using the wrong model for analysis or the risk of using the right model incorrectly.

B is incorrect because model risk is the risk of using the wrong model for analysis or the risk of using the right model incorrectly.

C is incorrect because legal risk is the risk of being sued or the risk that a court will not uphold an agreement.

成功=时间+方法，自制力是这个等式的保障。世上无天才，高手都是来自刻苦的练习。而人们经常只看到“牛人”闪耀的成绩，其成绩背后无比寂寞的勤奋。小编相信，每天都在勤奋练习，即使是一点点的进步，大家一定可以成为人人称赞的“牛人”。

下一篇："Portfolio Management":Formula of portfo...