Jensen's measure was not designed for ranking portfolio performance, but it can be modified to do so

Name: Jensen's measure was not designed for ranking portfolio performance, but it can be modified to do so
Brand: Quizplus
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Jensen's measure, originally designed to evaluate the predictive performance of a portfolio manager by comparing actual returns to those predicted by the Capital Asset Pricing Model (CAPM), can be adapted to rank portfolio performance by comparing the alpha values of different portfolios.

Jensen's Measure Was Not Designed for Ranking Portfolio Performance, but It