The Sharpe, Treynor, and Jensen portfolio performance measures are derived from the CAPM,
A) therefore, it does not matter which measure is used to evaluate a portfolio manager.
B) however, the Sharpe and Treynor measures use different risk measures. Therefore, the measures vary as to . whether or not they are appropriate, depending on the investment scenario.
C) therefore, all measure the same attributes.
D) therefore, it does not matter which measure is used to evaluate a portfolio manager. However, the Sharpe and
E) None of the options are correct.

Question

The Sharpe, Treynor, and Jensen portfolio performance measures are derived from the CAPM,
A) therefore, it does not matter which measure is used to evaluate a portfolio manager. 
B) however, the Sharpe and Treynor measures use different risk measures. Therefore, the measures vary as to . whether or not they are appropriate, depending on the investment scenario. 
C) therefore, all measure the same attributes. 
D) therefore, it does not matter which measure is used to evaluate a portfolio manager. However, the Sharpe and 
E) None of the options are correct.

Quizplus · Accepted Answer

The Sharpe measure uses standard deviation, or total risk, as the risk measure. The Treynor measure uses beta, or systematic risk, as the risk measure.

The Sharpe, Treynor, and Jensen Portfolio Performance Measures Are Derived