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Questions 1:
Which of the following portfolio performance measures are the most appropriate for an investor who holds a fully diversified portfolio?
A、Sharpe ratio and Treynor ratio.
B 、Treynor ratio and Jensen’s alpha.
C 、M-Squared and Sharpe ratio.
Questions 2:
A portfolio engages in an investment strategy that relies on a particular element of the tax code to produce superior after-tax returns for high-net-worth individuals. Because of this strategy, the portfolio most likely faces a high level of:
A 、compliance risk.
B 、model risk.
C、 legal risk.
View answer resolution
【analysis】
B is correct. For an investor who holds a fully diversified portfolio, the Treynor ratio and
Jensen’s alpha are the appropriate portfolio performance measures. They are appropriate
because in a fully diversified portfolio, only systematic risk matters; both these metrics
measure performance relative to beta or systematic risk.
A is incorrect. The Treynor ratio is appropriate for an investor who holds a fully diversified portfolio, but the Sharpe ratio is appropriate for an investor who does not hold a
fully diversified portfolio.
C is incorrect because these measures are appropriate for an investor who does not
hold a fully diversified portfolio.
【analysis】
A is correct. Tax risk, the risk that the tax code could change, along with regulatory and
accounting risks together form compliance risk. Legal risk is the risk of being sued or the
risk that a court will not uphold an agreement. Model risk is the risk of using the wrong
model for analysis or the risk of using the right model incorrectly.
B is incorrect because model risk is the risk of using the wrong model for analysis or
the risk of using the right model incorrectly.
C is incorrect because legal risk is the risk of being sued or the risk that a court will
not uphold an agreement.
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