Treynor's measure and Jensen's measure use the standard deviation of portfolio return in the denominator.

Question

Quizplus · Accepted Answer

Treynor's measure uses beta (a measure of volatility in relation to the market) in the denominator, while Jensen's measure does not use the standard deviation of portfolio return or beta in the denominator; it calculates alpha based on the expected portfolio return, given the risk-free rate and the expected market return.

Treynor's Measure and Jensen's Measure Use the Standard Deviation of Portfolio