i. Rigel is most appropriate for Client 1 on a risk-adjusted basis.
Total risk is most relevant for a portfolio which is not fully diversified. With all his assets invested in a stand-alone energy sector fund, Client 1 does not hold a fully diversified portfolio. Therefore, the Sharpe ratio is the most appropriate risk-adjusted performance measure for
Client 1 because it compares a portfolio’s excess return to its total risk. Rigel has the highest Sharpe ratio of the three funds.
为什么not diversified 看SR
ii. Procyon is most appropriate for Client 2 on a risk-adjusted basis.
Beta risk is most relevant for a portfolio in which nonsystematic risk has been diversified away. Since Client 2 holds a well-diversified portfolio, the Treynor measure is the most appropriate risk-adjusted performance measure because it compares a portfolio’s excess return relative to its systematic risk, represented by beta. Procyon has the highest Treynor measure of the three funds.
为什么well diversified portfolio 看 treynor measure
