【高频考点】CFA一级必考之Portfolio Performance Appraisal Measures

今天为大家汇总的是Portfolio Performance Appraisal Measures公式。同学们除了要记住他们的含义之外，还要注意公式之间的差异，CFA考试经常会给一段描述，让你选择对应的Measure是什么。下面我们就来看看具体的内容吧！

1. Sharpe ratio：the portfolio's risk premium divided by its risk. 分母代表总风险。

2. Treynor ratio: a simple extension of the Sharpe ratio and resolves the Sharpe ratio's first limitation by substituting beta (systematic risk) for total risk. 分母代表系统性风险。

3. M²: Risk-Adjusted Performance (RAP), provides a measure of portfolio return that is adjusted for the total risk of the portfolio relative to that of some benchmark. M²公式不常考，但大家要记住M²的含义。

4. Jensen's Alpha: the difference between the actual portfolio return and the calculated risk-adjusted return is a measure of the portfolio's performance relative to the market portfolio and is called Jensen's alpha. 衡量portfolio收益和CAPM收益的差距。

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