Two portfolios that have the same expected return are benchmarked to the same market index. In comparing these two portfolios, which of the following statements about performance measures is correct?
A. The portfolio with the higher beta will have the higher Treynor ratio.
B. Jensen's alpha is particularly well-suited for comparing portfolios with different levels of risk.
C. The portfolio with the higher volatility will have the higher Sharpe ratio but the lower Treynor ratio.
D. There is an exact linear relationship between the Treynor ratio and Jensen's alpha for each portfolio.
Answer:D
