Jensen’s fund underperformance results depended on CAPM’s risk adjustments but were robust to them.

Evidence

There was a sense in which Jensen’s result was theory-laden: the Capital Asset Pricing Model was used to eliminate the effects of differences in performance resulting from different levels of beta. … Even that, though, was scant comfort to the traditional “stock-picking” investment manager: without the correction, mutual funds would have underperformed by an even greater margin. — Donald MacKenzie, An Engine, Not a Camera, 348

Categorization

• DEFINE: Illustrates how beta-based CAPM adjustment shaped what count as ‘excess’ returns — a theory-laden measurement at the heart of the performativity thesis.