More more more Flashcards
1
Q
what is M2
A
M2 is used to evaluate the magnitude of differences in Sharpe ratios between portfolios.
2
Q
Treynor ratio
A
metric used to account for the systemic (BETA) risk
Highest TR is best
A portfolio that lies above the SML is generating returns greater than expected for the portfolio’s systematic risk. A portfolio that lies below the SML will be generating returns less than expected
3
Q
The Information ratio (IR) is
A
shows how much ALPHA the active manager is generating for each unit of non-systemic risk
