The Jensen portfolio evaluation measure
A)is a measure of return per unit of risk,as measured by standard deviation.
B)is an absolute measure of return over and above that predicted by the CAPM.
C)is a measure of return per unit of risk,as measured by beta.
D)A and B.
E)B and C.

Question

Quizplus · Accepted Answer

The Jensen portfolio evaluation measure is an absolute measure of return over and above that predicted by the CAPM. It assesses a portfolio's performance by comparing its actual returns to the returns predicted by the CAPM, taking into account the portfolio's beta (systematic risk). It is not a measure of return per unit of risk, as measured by standard deviation or beta. Therefore, options A and C are incorrect. Option D is incorrect as it includes option A, which is not the correct answer. Option E is incorrect as it includes option C, which is also not the correct answer.

The Jensen Portfolio Evaluation Measure