Which of the Following Statements About Jensen's Measure Are Correct

question 63

Multiple Choice

Which of the following statements about Jensen's measure are correct?
I. Through its use of the capital asset pricing model, Jensen's measure automatically adjusts for market return.
II. In general, the higher the Jensen's measure, the better a portfolio has performed.
III. Jensen's measure is referred to as alpha.
IV. A positive Jensen's measure indicates an investment has underperformed the market on a risk-adjusted basis.

• A) I and IV only
• B) I, II and III only
• C) II and III only
• D) I, III and IV only

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