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I think the idea here is to choose the BEST answer. Yes, the Treynor Ratio and Jensen's Alpha both use Beta and both basically tell you the same thing, which is a risk adjusted return. But the question is asking us which is most appropriate for evaluating "risk/return performance" So the measure we are looking for is a ratio of risk/return or return/risk. Jensen's Alpha is not a ratio, but the Treynor Ratio is. Treynor is giving us the return per unit of systematic risk. So because Treynor is a ratio, A is a BETTER answer than C.

As for answer B, I don't think we can assume there is no systematic risk despite the description of the fund as "well-diversified." I may be wrong, but I don't think we can ever formally say that ALL non-systematic risk has been diversified away...unless we are holding all securities in the market.

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Why it is not a sharp ratio ..if all unsyst risks are diversified ..so the sharp ratio should equal Treynor ratio ...right?

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Jensen gives no sense of scale? Only an alpha, but we don't know whether the alpha was generated over a low beta or high beta?

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