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TheSharperatioandtheTreynorratiobothmeasuretherisk-adjustedrateofreturnonaportfolioorastock,buttheyusedifferentbenchmarks.,Treynor,isameasurementofthereturnsearnedinexcessofthatwhichcouldhavebeenearnedonaninvestmentthathasnodiversifiablerisk(e.g....
什麼是風險?談Risk Metrics(Beta、Treynor ratio)
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2007年11月30日—在比較的時候,Treynorratio愈高愈好。Treynorratio有個缺點。因為它風險評量的部位是採用Beta值,而Beta值代表的是系統性風險(或說是市場風險)。假如 ...
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