Another Ambiguous question from Schweser. Would there ever be a time when they would give conflicting answers (answer should be no, mathematically at least). Return - RF / Beta Actual Return - [RF + (Beta)(MKT)] Why would one prefer Treynor over Jensen’s alpha? Overall the portfolios should rank exactly the same between Treynor and Jensen’s Alpha.
If you do not have the market return data at least you can calculate Treynor, it is easier to calculate too
you need market return on Jenson
If you want to see by how much the manager has added value through alpha then use Jensen Alpha but if you want to know the excess return generated per unit of systematic risk, then use Treynor ratio. But at the end of the day both of them will give the same answer with regards to performance.
So it comes down to having market performance. That makes sense. I was just thinking given all the variables the answer should be exactly the same.
idreesz Wrote: ------------------------------------------------------- > Look at this thread, it could happen: > > http://www.analystforum.com/phorums/read.php?13,93 > 0252 Weird that is dead out of the texts that they provide the same ranking.
Paraguay Wrote: ------------------------------------------------------- > idreesz Wrote: > -------------------------------------------------- > ----- > > Look at this thread, it could happen: > > > > > http://www.analystforum.com/phorums/read.php?13,93 > > > 0252 > > > Weird that is dead out of the texts that they > provide the same ranking. If CFA says it is, then go with it. But just be careful 