Tony brags that his portfolio's rate of return is "beating the market". Which one of the following would best substantiate his claim?
A)positive Sharpe ratio
B)negative Treynor ratio
C)positive Jensen's alpha
D)zero Value-at-Risk
E)beta greater than 1.0

Question

Quizplus · Accepted Answer

Jensen's alpha is a measure of risk-adjusted performance that compares the portfolio's actual return to its expected return based on its level of risk (as measured by beta). A positive Jensen's alpha indicates that the portfolio is generating returns in excess of what would be expected given its level of risk, providing evidence that it is outperforming the market.

Tony Brags That His Portfolio's Rate of Return Is "Beating