NISM Certifications · NISM-Series-XXI-A: Portfolio Management Services (PMS) Distributors · Performance Measurement and Evaluation of Portfolio Managers
Which measure uses beta, rather than standard deviation, as the risk denominator when evaluating a portfolio's risk-adjusted performance?
The Treynor ratio uses beta as its risk measure. It divides the portfolio's excess return over the risk-free rate by beta, so it captures return per unit of systematic risk, unlike the Sharpe ratio, which uses total risk through standard deviation.
- ASharpe ratio
- BTreynor ratioCorrect
- CStandard deviation of returns
- DAbsolute return
Explanation
The Treynor ratio is (Rp - Rf) / beta, so it uses systematic risk. The Sharpe ratio uses total risk measured by standard deviation.
Did you get it right without looking?
One question tells you little. A timed set on Performance Measurement and Evaluation of Portfolio Managers shows your real accuracy, how long you take and where you lose marks.
More Performance Measurement and Evaluation of Portfolio Managers questions
- A PMS portfolio was worth Rs 50,00,000 at the start of the year and Rs 58,00,000 at the end. There were no inflows or outflows during the ye…
- Which measure divides a portfolio's excess return over the risk-free rate by the portfolio's standard deviation?
- A PMS portfolio was worth Rs 50,00,000 at the start of the year and Rs 58,00,000 at the end. No money was added or withdrawn and there were …
- A PMS portfolio returned 14%, the risk-free rate is 6% and the portfolio beta is 1.6. What is its Treynor ratio (as return per unit of beta,…
- Under SEBI PMS regulations, which benchmark-related practice is required when a portfolio manager reports performance to clients?
- A PMS portfolio manager's portfolio value rose from Rs 50,00,000 at the start of the year to Rs 56,00,000 at the end of the year, with no ca…