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坏呼呼嘿嘿 · 2023年06月18日

请问Treynor Measure 是衡量什么的，需要掌握吗

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000404

问题如下：

The asset allocation choice in Exhibit 2 that has the highest probability of meeting the committee’s desired return criteria is allocation:

选项：

A.3 B.1 C.2

解释：

Solution

C is correct. The allocation that has the highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expected annual return – target return)/return volatility, which is Ratio 2 in Exhibit 2. Allocation 2 has the highest value for this ratio.

B is incorrect. Allocation 2 has the highest value for Ratio 2. Allocation 1 has the highest Sharpe Ratio.

A is incorrect. Allocation 2 has the highest value for this Ratio 2. Allocation 3 has the highest Treynor Measure.

如题

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2 个答案

lynn_品职助教 · 2023年06月19日

嗨，爱思考的PZer你好：


啊，这忘得更多了， jensen's alpha m-squared 这些指标三级考到的概率还大吗？完全记不住了


三级有哇，这里更正一下，Treynor measure名字没有变，下面是Rrading26的框架图，在Trading这一部分。

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加油吧，让我们一起遇见更好的自己！

lynn_品职助教 · 2023年06月19日

嗨，从没放弃的小努力你好：


Treynor measure是老考纲的说法了，还是performance的相关内容，不过现在虽然不叫这个，但是指标还是学了的


需要指导一下，这个名称其实也能猜得到，既然正好做到了题目，就当知识储备一下~


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

坏呼呼嘿嘿 · 2023年06月19日

啊，这忘得更多了， jensen's alpha m-squared 这些指标三级考到的概率还大吗？完全记不住了

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