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)A and B.
E)none of the above.

Question

Quizplus · Accepted Answer

The Sharpe measure uses standard deviation as a risk measure, while the Treynor measure uses beta. This means they are appropriate in different scenarios depending on whether total risk or systematic risk is more relevant.

The Sharpe,Treynor,and Jensen Portfolio Performance Measures Are Derived from the CAPM