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An Analysis of Stock Market Performance by Using Sharpe Treynor and Jensen Measures
Subject area: Management and Commerce · Area of research: Stock Market Performance
DOI: 10.64388/IREV10I2-1722475
Abstract
This study evaluates the risk-adjusted performance of selected stocks using the Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. The study recognises that absolute returns alone do not provide an adequate basis for investment comparison because returns must be assessed in relation to the level and type of risk undertaken. The findings indicate that Tata Steel achieved the strongest overall risk-adjusted performance, while Infosys recorded the highest Treynor Ratio and positive Jensen’s Alpha. Reliance Industries also demonstrated consistent performance across the three measures, while HDFC Bank and State Bank of India ranked among the better-performing companies. In contrast, Asian Paints recorded weak risk-adjusted performance, while Larsen & Toubro showed relatively modest risk-adjusted returns. The Kruskal-Wallis test revealed statistically significant differences among the daily-return distributions of the selected companies. Overall, the study confirms the usefulness of combining Sharpe, Treynor and Jensen measures for comprehensive investment evaluation and highlights the importance of diversification, periodic portfolio review, beta monitoring and consideration of broader fundamental and economic factors in investment decisions.
Keywords
risk-adjusted return, sharpe ratio, treynor ratio, jensen’s alpha, portfolio performance, systematic risk, beta, stock market, kruskal-wallis test, investment decision.
References
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How to cite this paper
@article{1722475,
author = {Hemanth Kumar M, Dr. Pavan Kumar S S},
title = {An Analysis of Stock Market Performance by Using Sharpe Treynor and Jensen Measures},
journal = {Iconic Research And Engineering Journals},
year = {2026},
volume = {10},
number = {2},
pages = {2049-2055},
issn = {2456-8880},
url = {https://www.irejournals.com/formatedpaper/1722475.pdf},
abstract = {This study evaluates the risk-adjusted performance of selected stocks using the Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. The study recognises that absolute returns alone do not provide an adequate basis for investment comparison because returns must be assessed in relation to the level and type of risk undertaken. The findings indicate that Tata Steel achieved the strongest overall risk-adjusted performance, while Infosys recorded the highest Treynor Ratio and positive Jensen’s Alpha. Reliance Industries also demonstrated consistent performance across the three measures, while HDFC Bank and State Bank of India ranked among the better-performing companies. In contrast, Asian Paints recorded weak risk-adjusted performance, while Larsen & Toubro showed relatively modest risk-adjusted returns. The Kruskal-Wallis test revealed statistically significant differences among the daily-return distributions of the selected companies. Overall, the study confirms the usefulness of combining Sharpe, Treynor and Jensen measures for comprehensive investment evaluation and highlights the importance of diversification, periodic portfolio review, beta monitoring and consideration of broader fundamental and economic factors in investment decisions.},
keywords = {risk-adjusted return, sharpe ratio, treynor ratio, jensen’s alpha, portfolio performance, systematic risk, beta, stock market, kruskal-wallis test, investment decision.},
month = {August},
doi = {https://doi.org/10.64388/IREV10I2-1722475}
}