Under Jensen's differential return approach to portfolio evaluation,superior market timing is exhibited by a
A)statistically significant positive alpha.
B)statistically significant negative alpha.
C)zero alpha.
D)low positive alpha.

Question

Quizplus · Accepted Answer

Jensen's differential return approach assesses a portfolio manager's ability to generate returns over and above the market returns. A statistically significant positive alpha indicates that the portfolio manager has achieved superior market timing, meaning that they have been able to consistently generate returns that are above the expected returns based on the market's performance. A statistically significant negative alpha indicates poor market timing, while a zero or low positive alpha indicates no significant difference between the portfolio's returns and the expected returns based on the market's performance.

Under Jensen's Differential Return Approach to Portfolio Evaluation,superior Market Timing