Which one of the following is measured by the Jensen-Treynor alpha?
A)total return relative to systematic risk
B)risk premium relative to systematic
C)risk premium relative to total risk
D)excess return relative to systematic risk
E)excess return relative to total risk

Question

Quizplus · Accepted Answer

The Jensen-Treynor alpha measures the excess return of a portfolio over and above what would be expected given its level of systematic risk. Therefore, it measures the excess return relative to systematic risk.

Which One of the Following Is Measured by the Jensen-Treynor