问题
单项选择题
An analyst does research about portfolio performance evaluation. Which of the following performance measures is most appropriate for an investor who is not fully diversified（）
A. M-squared.
B. Treynor ratio.
C. Jensen's alpha.
答案
参考答案：A
解析：
M-squared使用标准差(总风险)来衡量风险，所以不需要充分地分散化非系统性风险这一假设。Treynor ratio和Jensen's alpha都是基于系统性风险，需要投资者充分地分散化非系统性风险这一假设。