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.

Question

Quizplus · Accepted Answer

The Jensen portfolio evaluation measure, also known as Jensen's alpha, is an absolute measure of a portfolio's return over and above that predicted by the Capital Asset Pricing Model (CAPM), taking into account the portfolio's risk as measured by its beta.

The Jensen Portfolio Evaluation Measure