Which measure of portfolio performance allows analysts to determine the statistical significance of abnormal returns?
A) Sharpe measure
B) Jensen measure
C) Fama measure
D) Information Ratio
E) Treynor measure

Question

Quizplus · Accepted Answer

The Jensen measure, also known as the "alpha" of a portfolio, measures the excess return of a portfolio over its expected return based on its level of systematic risk. It allows analysts to determine the statistical significance of abnormal returns by comparing the expected return based on the portfolio's level of risk to the actual return earned.

Which Measure of Portfolio Performance Allows Analysts to Determine the Statistical