This paper introduces the concept of "Jensen's Alpha," a risk-adjusted measure of portfolio performance that estimates a manager's forecasting ability. The measure is derived from the capital asset pricing models by Sharpe, Lintner, and Treynor. The study applies this measure to 115 mutual fund managers from 1945 to 1964 to evaluate their predictive ability. The results indicate that these funds, on average, were not able to outperform a buy-and-hold market strategy and showed little evidence of significantly outperforming random chance. Even when fund returns are adjusted for management expenses, the funds did not consistently recoup their brokerage costs. The study emphasizes the need for mutual funds to better evaluate the costs and benefits of their research and trading activities to maximize returns for investors.This paper introduces the concept of "Jensen's Alpha," a risk-adjusted measure of portfolio performance that estimates a manager's forecasting ability. The measure is derived from the capital asset pricing models by Sharpe, Lintner, and Treynor. The study applies this measure to 115 mutual fund managers from 1945 to 1964 to evaluate their predictive ability. The results indicate that these funds, on average, were not able to outperform a buy-and-hold market strategy and showed little evidence of significantly outperforming random chance. Even when fund returns are adjusted for management expenses, the funds did not consistently recoup their brokerage costs. The study emphasizes the need for mutual funds to better evaluate the costs and benefits of their research and trading activities to maximize returns for investors.