The Jensen portfolio evaluation measure
A) is a measure of return per unit of risk, as measured by standard deviation.
B) is an absolute measure of return over and above that predicted by the CAPM.
C) is a measure of return per unit of risk, as measured by beta.
D) is a measure of return per unit of risk, as measured by standard deviation, and is an absolute measure of return over and above that predicted by the CAPM.
E) is an absolute measure of return over and above that predicted by the CAPM, and is a measure of return per unit of risk, as measured by beta.

Question

Quizplus · Accepted Answer

The Jensen portfolio evaluation measure, also known as Jensen's alpha, is an absolute measure of return over and above that predicted by the Capital Asset Pricing Model (CAPM). It does not measure return per unit of risk.

The Jensen Portfolio Evaluation Measure