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SA6 April 2016 Q2 (iv)

Discussion in 'SA7' started by Scott Waygood, Mar 12, 2020.

  1. Scott Waygood

    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?
     
    Scott Waygood, Mar 12, 2020
    #1
  2. Colin McKee

    Colin McKee ActEd Tutor Staff Member

    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.
     
    Colin McKee, Mar 13, 2020
    #2
  3. Scott Waygood

    Scott Waygood Member

    Thanks
     
    Scott Waygood, Mar 13, 2020
    #3

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