Which of the following statements concerning performance measures is false?
A) The Sharpe measure examines both unsystematic and systematic risk.
B) The Treynor measure examines systematic risk.
C) The Jensen measure examines systematic risk.
D) All three measures examine both unsystematic and systematic risk.
E) None of the above (that is, all statements are true)

Question

Quizplus · Accepted Answer

The Sharpe measure considers total risk (systematic and unsystematic), while the Treynor and Jensen measures focus only on systematic risk.

Which of the Following Statements Concerning Performance Measures Is False