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.
既然说M²是调成与市场风险一致了，那么为什么不是衡量的是市场风险也就是系统性风险呢？
