Financial Risk Management Practice Test
Financial Risk Management Portfolio Risk Management 2
What is the Treynor ratio and how does it differ from the Sharpe ratio?
Select your answer
A
Both are identical; they use different notation for the same calculation
B
The Treynor ratio uses beta (systematic risk) in the denominator instead of total standard deviation, making it useful when a portfolio is part of a larger diversified whole
C
The Treynor ratio uses downside deviation while Sharpe uses total standard deviation
D
The Treynor ratio compares portfolio return to a benchmark rather than a risk-free rate
Hint
