Under Jensen's differential return approach to portfolio evaluation, superior market timing is exhibited by a:
A) positive alpha that is statistically significant.
B) negative alpha that is statistically significant.
C) zero alpha.
D) statistically significant beta since alphas can be positive, negative or zero.

Question

Quizplus · Accepted Answer

Jensen's differential return approach to portfolio evaluation indicates superior market timing by a positive alpha that is statistically significant. Alpha represents the excess return of a portfolio over the benchmark, suggesting the portfolio manager's ability to generate returns above the market's performance.

Under Jensen's Differential Return Approach to Portfolio Evaluation, Superior Market