Evaluating Risk-Adjusted Portfolio Performance

Michael is a portfolio manager who is evaluating the performance of his diversified equity portfolio over a three-year period. He wants to assess the portfolio's risk-adjusted performance using several different metrics. The portfolio returned 12% annually with a standard deviation of returns equal to 15%. For benchmarking, he compares his portfolio to a broad market index that returned 10% annually with a standard deviation of 12% over the same period.

As Michael analyzes the results, he considers using the Sharpe Ratio, the Treynor Ratio, and Jensen's Alpha to determine how well he has compensated for the risk taken. Each ratio is calculated based on the excess returns of his portfolio and the benchmark.

Which of the following statements about the risk-adjusted performance of Michael's portfolio is correct?