Which one of the following is probably the best measure of the performance of a well-diversified portfolio?
A)Jensen's alpha
B)Value-at-Risk
C)Jensen-Treynor alpha
D)Sharpe ratio
E)Treynor ratio

Question

Quizplus · Accepted Answer

The Sharpe ratio is considered the best measure of risk-adjusted performance for a portfolio, as it takes into account both the portfolio's return and its volatility. It is widely used and well-respected among finance professionals. Jensen's alpha, Jensen-Treynor alpha, and Treynor ratio all attempt to measure a portfolio's outperformance relative to a benchmark, but may not be suitable for well-diversified portfolios that do not have a focused benchmark. Value-at-Risk is a measure of the potential losses that could occur in extreme market conditions and is not a good measure of overall portfolio performance.

Which One of the Following Is Probably the Best Measure