Explanation

When concerned only with systematic risk, the Treynor ratio is the most appropriate measure.

Comparison of performance measures:

• Treynor Ratio = (Portfolio Return - Risk-Free Rate) / Beta

  • Uses beta (systematic risk) as the denominator
  • Best for comparing portfolios with different systematic risk levels
  • Appropriate when investors hold well-diversified portfolios

• Sharpe Ratio = (Portfolio Return - Risk-Free Rate) / Standard Deviation

  • Uses total risk (standard deviation) as the denominator
  • Includes both systematic and unsystematic risk

• Jensen's Alpha = Portfolio Return - [Risk-Free Rate + Beta × (Market Return - Risk-Free Rate)]

  • Measures abnormal performance relative to CAPM
  • Not specifically designed for ranking based on systematic risk

• Sortino Ratio = (Portfolio Return - Minimum Acceptable Return) / Downside Deviation

  • Focuses on downside risk only
  • Not specifically related to systematic risk

Since the question specifies being concerned only with systematic risk and ranking funds with different betas, the Treynor ratio is the most appropriate choice.