Which one of the following statements is true? Notation: RVAR: Sharpe's reward-to-variability measure
RVOL: Treynor's reward-to-volatility measure
A)RVOL is based on total risk while RVAR is based on systematic risk.
B)RVAR is based on total risk while RVOL is based on systematic risk.
C)RVAR is based on unsystematic risk while RVOL is based on systematic risk.
D)RVOL is based on systematic risk while RVAR is based on unsystematic risk.

Question

Quizplus · Accepted Answer

The Sharpe ratio (RVAR) uses total risk (standard deviation), while the Treynor ratio (RVOL) uses systematic risk (beta).

Which One of the Following Statements Is True? Notation: RVAR