medium · FRM Part 1
Under what specific condition will the Sharpe Ratio and the Treynor Ratio provide identical rankings for a group of investment portfolios?
- When the correlation between the portfolios and the market is zero.
- When all portfolios are perfectly diversified.
- When the portfolios are evaluated against a multifactor model rather than the CAPM.
- When the portfolios exhibit significant negative skewness.
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