• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

SA6 April 2016 Q2 (iv)

S

Scott Waygood

Member
The solutions say that Treynor and Jensen measures are more suitable measures for parts of a portfolio, which is consistent with my SP5 notes. HFY performs better than HFX on these measures, which I agree with. I think that the 4th paragraph should read "This indicates that if looked at as part of a portfolio, HFY would be the clear preference, but if looked at individually, the difference is much less significant and HFX might be preferred." Does the mark scheme have it the wrong way around in paragraph 4?
 
It does look odd. On a Treynor measure and on a Jensen measure HFY appears to outperform as mentioned in solution. But on Sharpe and Pre-Spec it seems to be HFX. So if it is a small part of a portfolio HFY would be preferred, but if it is all of an investors portfolio, HFX would be preferred. I think this may just be a typo in examiners final published solution. The term "when looked at individually" is a bit unclear to me in the first place, and it might just be the examiners choice of words. But I agree, when it is part of a portfolio, HFY looks favourite.
 
You must log in or register to reply here.
Back
Top