CFA Practice Question

There are 294 practice questions for this study session.

CFA Practice Question

Which statement is true?
A. Sharpe ratio cannot be applied to risk-free assets.
B. Portfolios with identical total risk but different systematic risk will be rated the same using Treynor ratio.
C. M-square should give us rankings that are identical to those of Jensen's Alpha.
Explanation: A is true. The zero standard deviation of such assets cannot be used as the denominator.

B is false. Remember that the Treynor ratio uses beta to measure risk.

C is false. M-squared uses total risk while Jensen's Alpha uses beta.

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