Risk-Adjusted Returns Evaluation Flashcards
1
Q
What is the Treynor Ratio Formula?
A
Rp-Rf/Beta
2
Q
What is the Sharpe Ratio Formula?
A
Rp-Rf/Risk
3
Q
Name a selection of downside risk adjusted returns
A
(not an exhaustive list)
Calmar Ratio
Sterling Ratio
Sortino Ratio
4
Q
True or False?
M2 is similar to the Sharpe Ratio but scales by the risk of the market
A
True
5
Q
Jensens Alpha measures a managers Luck or ____
A
Skill
6
Q
Manager skill is determined by 2 main factors, what are they?
A
Stock picking, Market timing
7
Q
True or false?
Fama-french multifactor models are examples of risk-adjusted measures
A
True
8
Q
____ managers seek to track the market by reducing tracking errors
A
Passive
9
Q
Truth or False?
Annualised Arithmetic returns are an accurate measure of portfolio performance
A
False
