The Jensen measure requires that each period's rates of return and risk-free rate be measured, rather than using the long-term averages as in the Treynor and Sharpe measures.

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The statement is correct. The Jensen measure (also known as alpha) compares the actual return of a portfolio to the expected return based on its level of systematic risk. In order to calculate the alpha, the returns and risk-free rates for each period need to be measured, rather than relying on long-term averages like the Treynor and Sharpe measures.

The Jensen Measure Requires That Each Period's Rates of Return