You are choosing one of the three portfolios by considering the Sharpe Ratio, Treynor Ration and Jensen-Alpha.
Question:
You are choosing one of the three portfolios by considering the Sharpe Ratio, Treynor Ration and Jensen-Alpha. Briefly discuss which one you would choose to optimise risk-adjusted return. Justify your choice by providing evidence using suitable performance measurement.
Briefly discuss two limitations of your choice.
In light of your answer in provide a better alternative portfolio evaluation index. Provide justifications for your choice.
You are going to combine portfolio AAA and portfolio BBB to form a portfolio CCC. Without doing any calculation, do you expect there will be any improvement in portfolio CCC in Sharpe Ratio, Treynor Ratio and Jensen-Alpha?
Investment Analysis and Portfolio Management
ISBN: 978-1305262997
11th Edition
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds