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Performance Evaluation: Jensen's Alpha. EXHIBIT 6-8 Measures of Portfolio Performance Evaluation. EXHIBIT 6-11 The Security Characteristic Line (SCL). Excess Returns. Jensen's Alpha. EXHIBIT 6-12 Security Selection Using SML. Decomposition of Total Risk for a. Single-Index Model. Zero. EXHIBIT 6-13 Diversification
The Treynor ratio and Jensen's alpha are risk-adjusted performance measures that isolate the portion of a portfolio's return explained by its sensitivity to market risk. Practitioners who use these measures should understand how the exclusion of idiosyncratic risk and the limitations of beta affect the interpretation of the
Capital.Asset.Pricing.Model. (CAPM).developed.by.Sharpe.(1964).highlighted. the. notion. of. rewarding. risk. and. produced. the. first. performance. indicators,. be. they. risk- adjusted.ratios.(Sharpe.ratio,.information.ratio). or.differential.returns.compared.to.benchmarks. (alphas).. Portfolio. alpha. measurement. is. at. the.
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National Centre of Competence in Research. Financial Valuation and Risk Management. Working Paper No. 317. Jensen's Alpha in the CAPM with Heterogeneous. Beliefs. Anke Gerber. Thorsten Hens. First version: July 2006. Current version: February 2009. This research has been carried out within the NCCR FINRISK
In this paper I derive a risk-adjusted measure of portfolio performance (now known as. "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1964),. Lintner (1965a) and Treynor (Undated).
The Sharpe ratio and Jensen's alpha are appropriate only when investors restrict attention to mean and variance of returns. Alternative performance measures reward positive skewness. Rewarding skewness is particularly relevant for performance measurement when options are used, since one of the main benefits of
This is the logic of Jensen's (1968) alpha, which remains one of the most widely used measures of risk- adjusted performance. If alpha is positive the manager earns an abnor- mal return relative to the alternative of holding the benchmark portfolio strategy. Early performance measures were sometimes crude in their treat-.
Description of the Measure : The Jensen's Alpha is an absolute measure of performance. It is given by the annualized return of the fund, deducted the yield of an investment without risk, minus the return of the benchmark multiplied by the fund's beta (see risk indicator) during the same period. Interpretation: The Jensen's
Learn what is Jensen's Alpha – a formula used by investors and fund managers to compare a stock's investment rate of return with the overall market performance.

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March 2018