FRM II-RM EDU Q3

anbu.edu
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FRM II-RM EDU Q3

Postby anbu.edu » Thu Oct 23, 2014 11:03 am

Which of the following is similar to Sharpe ratio:
Select one:
a. M2 measure
b. Treynor measure
c. Jensen’s alpha
d. None of above
Feedback
The correct answer is B.
Treynor measure is similar to Sharpe ratio, It uses beta instead of systematic risk as the measure of risk.
The correct answer is: Treynor measure.

Can A be better answer

edupristine
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FRM II-RM EDU Q3

Postby edupristine » Thu Oct 30, 2014 7:30 am

All the three ratios have a very thin line of difference amongst them. The reason why Treynor measure is the answer is that both Sharpe ratio and Treynor measure are dimensionless quantities.

Whereas M2 measure is in units of percent return.


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