It is a version of the standard alpha based on a theoretical performance instead of a market index.
[2] The CAPM return is supposed to be 'risk adjusted', which means it takes account of the relative riskiness of the asset.
Since Eugene Fama, many academics believe financial markets are too efficient to allow for repeatedly earning positive Alpha, unless by chance.
Generalizing the above definition to the multifactor setting, Jensen's alpha is a measure of the marginal return associated with an additional strategy that is not explained by existing factors.
We obtain the CAPM alpha if we consider excess market returns as the only factor.
If Jensen's alpha is significant and positive, then the strategy being considered has a history of generating returns on top of what would be expected based on other factors alone.