liangfeng

overdope Wrote:
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> Sharpe Ratio and Jensen's Alpha considers Total
> Risk(Systematic Risk and + Unsystematic Risk).
> AM considers only systematic
> risk(Well-Diversified), Treynor Measure is
> appropriate.


Jensen's alpha measures excess return given systematic risk, beta, of the portfolio but Treynor measures unit excess return per systematic risk taken. Jensen's provides the total alpha (excess return) generated.