Microsoft PowerPoint - PoF.ppt

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Jensen indexƒ 70

If the fund has a positive Jensen index, it is positioned above the SML, and it is considered to have a good performance (and vice versa).
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Jensen index is sensitive to the magnitude of the excess return captured by the manager.
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Jensen index is not sensitive to the number of different securities for which a manager captured excess returns.
Single-period random cash flows:


CAPM - Performance measurement

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