Which one of the following measures a portfolio's raw return against the expected return based on the Capital Asset Pricing Model?
A)Sharpe ratio
B)Treynor ratio
C)Jensen's alpha
D)beta
E)Value-at-Risk

Question

Quizplus · Accepted Answer

Jensen's alpha measures a portfolio's raw return against the expected return based on the Capital Asset Pricing Model by adjusting for the portfolio's systematic risk (beta) and the market risk premium. The other options measure different aspects of risk-adjusted performance, but do not specifically compare raw return to expected return based on the CAPM.

Which One of the Following Measures a Portfolio's Raw Return