Which of the following is a "higher the better" measure?
A) only Sharpe's measure
B) only Treynor's measure
C) only Jensen's measure
D) All three are "higher the better" measures.

Question

Quizplus · Accepted Answer

All three measures, Sharpe's, Treynor's, and Jensen's, are used to evaluate the performance of investment portfolios, with higher values indicating better performance. Sharpe's measure evaluates risk-adjusted return by comparing the excess return of an investment to its standard deviation of returns. Treynor's measure also assesses risk-adjusted return but uses beta (market risk) instead of standard deviation. Jensen's measure, or alpha, indicates the abnormal return of a portfolio beyond what is predicted by the capital asset pricing model (CAPM), with higher values showing better performance.

Which of the Following Is a "Higher the Better" Measure