The Sharpe and Treynor performance measures both calculate a portfolio's average excess return per unit of risk.

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The Sharpe and Treynor performance measures both calculate a portfolio's average excess return per unit of risk. Under what circumstances would it make sense to use both measures to compare the performance of a given set of portfolios? What additional information is provided by a comparison of the rankings achieved using the two measures?

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Investment Analysis and Portfolio Management

ISBN: 978-0538482387

10th Edition

Authors: Frank K. Reilly, Keith C. Brown

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