How can I get a jQuery alert to display html?

How can I get a jQuery alert to display html?

I'm passing html from my server Controller method back to the Ajax call, but it's not displaying as html. This is the client code:

  1.     $("#btnViewList").click(function () {
                            $.ajax({
                                type: "GET",
                                url: '@Url.Action("GeneratePDFOfReportFutures", "GenerateScheduledRptsPDF")',
                                success: function (retval) {
                                    alert('pre-success from btnViewList');
                                    alert(retval);
                                },
                                error: function () {
                                    alert('error in btnViewList');
                                }
                            }); // $.ajax({
                        }); // $("#btnViewList").click()
This is what I see:



What do I need to do to "alert(retval);" to get it to format the string as html?