Which of the following performance measures is most closely related to the efficient frontier?
A) Treynor ratio.
B) Raw return.
C) Jensen-Treynor alpha.
D) Jensen's alpha.
E) Sharpe ratio.

Question

Quizplus · Accepted Answer

The Sharpe ratio is a measure of risk-adjusted return, which is directly related to the efficient frontier. The efficient frontier represents the set of portfolios giving the highest return for a given level of risk, and the Sharpe ratio helps investors to identify those portfolios that generate the best risk-adjusted returns. Therefore, the Sharpe ratio is the most closely related performance measure to the efficient frontier.

Which of the Following Performance Measures Is Most Closely Related