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Which of the following statements about Jensen's measure are correct? I. As it uses the capital asset pricing model, Jensen's measure automatically adjusts for market
Which of the following statements about Jensen's measure are correct?
I. As it uses the capital asset pricing model, Jensen's measure automatically adjusts for market return. II. In general, the higher the Jensen's measure, the better a portfolio has performed. III. Jensen's measure is referred to as alpha. IV. A positive Jensen's measure indicates an investment has underperformed the market on a risk-adjusted basis.
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