The measure of performance which divides the portfolio's risk premium by the portfolio's beta is the
A) Sharpe measure.
B) Jensen measure.
C) Fama measure.
D) Alternative components model (MCV).
E) Treynor measure.

Question

Quizplus · Accepted Answer

The measure described is the Treynor measure, which measures risk-adjusted performance by dividing the portfolio's excess return over the risk-free rate by its beta.

The Measure of Performance Which Divides the Portfolio's Risk Premium