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2022-10-25 12:18我記得Treynor ratio是在組合里講到的，這個(gè)東西不是衡量對(duì)稱性回報(bào)的嗎。但是另類投資的回報(bào)是左偏的。為什么Treynor ratio也可以衡量呢。
所屬：CFA Level I > Alternative Investments 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2022-10-25 21:34
該回答已被題主采納
同學(xué)您好
這里A選項(xiàng)表述的是The Treynor ratio uses beta as a risk measure.
他說Treynor可以用來衡量系統(tǒng)性風(fēng)險(xiǎn)，這是對(duì)的。這里并沒有說Terynor ratio適合評(píng)估另類投資。
從以下的原文來看，Treynor ratio可以用來評(píng)估另類投資。但是會(huì)存在一些講義中講的缺陷。
Alternative assets are generally deemed more valuable when they have a lower beta to traditional assets, and this is where the Treynor ratio proves useful: It is a measure of the excess average return of an investment relative to its beta to a relevant benchmark, such as a broad equity index.
這些缺陷是：
based on historical beta data that may change in the future. 基于歷史測(cè)試數(shù)據(jù)，未來可能會(huì)發(fā)生變化
becomes less meaningful if the beta of the alternative asset to its systematic benchmark is negative. 如果另類資產(chǎn)對(duì)其系統(tǒng)基準(zhǔn)的貝塔系數(shù)為負(fù)，則意義不大
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