Learning outcomes: Differentiate between the time-weighted and dollar-weighted returns of a portfolio and describe their appropriate uses. Describe risk-adjusted performance measures, such as Sharpe’s measure, Treynor’s measure, Jensen’s measure (Jensen’s alpha), and the information ratio, and...
Hi All,
Can someone confirm the correct Jensen's Alpha formula? I've seen two versions used throughout the material and I don't understand why. Maybe I'm just overlooking something. One version adds the Risk Free Rate to the Price of Risk while the other one subtracts it. Examples below...
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