NO.PZ2018070201000106
问题如下：
Which of the following performance measures is based on systematic risk?
选项：
A.Sharpe ratio.
B.
M-squared.
C.
Jensen’s alpha.
解释：
C is correct.
In all of the three listed performance measures, Jensen’s alpha is the only one that adjusts for systematic risk, which is consistent with the CAPM.
请问是如何理解c是正确的？
从公式可以看出，beta是衡量系统性风险的。所以它适用于已经充分分散化的组合。