Carleen2023-12-20 20:24:29

官网题Chasing Alpha 第二题 的官网解析不太理解：A is correct. Given that the fund mandate requirement is for a short-term return in excess of the risk-free rate, the Sortino ratio is a more appropriate measure because it penalizes returns below a specific return—in this case, 1.5% above the risk-free rate.B is incorrect. The Treynor ratio penalizes returns below the risk-free rate. It will not measure the fund’s ability to meet the requirement of a short-term return in excess of the risk-free rate.C is incorrect. The information ratio evaluates the portfolio return relative to a benchmark. It will not measure the fund’s ability to meet the requirement of a short-term return in excess of the risk-free rate.