A portfolio's return above or below the expected return given the asset's systematic risk is:
A) the Treynor ratio.
B) the raw return.
C) the Jensen-Treynor alpha.
D) the Jensen's alpha.
E) the Sharpe ratio.

Question

Quizplus · Accepted Answer

The portfolio's return above or below the expected return given the asset's systematic risk is known as the Jensen's alpha. The other ratios listed (Treynor ratio, Sharpe ratio) are measures of risk-adjusted performance, but not specific to the portfolio's return compared to the expected return. The raw return is simply the total return without any adjustment for risk. The Jensen-Treynor alpha is not a widely recognized term in finance.

A Portfolio's Return Above or Below the Expected Return Given