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A manager who evaluates portfolios' investment performance adjusted for systematic risk is most likely to rank...

A manager who evaluates portfolios' investment performance adjusted for systematic risk is most likely to rank portfolio based on their a. Correlation Coefficient b. Sharpe's ratios c. Treynor mearsures d. R-squared

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Answer #1

Evaluation of Portfolio performance on the basis of systematic risk-adjusted ranking is done by means of the reward to volatility ratio more popularly known as the Treynor measure. Although, the Sharpe's ratio is also an example of a reward to variability ratio, the same measures portfolio performance on the basis of both systematic and nonsystematic risks. The Treynor's Measure, however, uses only systematic risk-adjustment as the basis for portfolio performance measurement and eventual portfolio ranking.

Hence, the correct option is (c).

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