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Performance Measures (A) Stock Funds(B) Market Timers Performance Measures Here are some performance measures that have been used (Refer Chapter 24 of text): 1. Sharpe’s Measure: (Rp - Rf)/Sigma_p 2. M-Square (an economic interpretation of the Sharpe ratio) 3. Jensen’s alpha: Alpha_p = Rp - [Rf + Beta_p(Rm-Rf)] 4. Treynor’s Square : Alpha_p/Beta_p Treynor’s Measure: (Rp-Rf)/Beta_p 5. Appraisal Ratio: (Rp-Rf)/(volatility of non-market risk in portfolio) Jensen’s Alpha (1/6) Jensen’s alpha measures the extra return that the portfolio earns after adjusting for its “beta” risk. The beta here d