This Case is about Finance
Publication Date: 11/23/2011
In this note, several measures to assess the operation of a mutual fund are discussed, including Jensen’s Measure, Treynor Ratio, Sharpe Ratio, and Modigliani’s Measure. It is well known that expected returns can rise by assuming higher risk; therefore, performance measures must include the notion of danger.
Learning Objective: This note is useful for teaching common approaches in quantifying a mutual fund operation.