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Question
| Long Horn | Market Portfolio | |||
| Average return | 19 | % | 12 | % |
| Standard deviations of returns | 35 | % | 15 | % |
| Beta | 5 | 1.0 | ||
| Residual standard deviation | 3.0 | % | 0.0 | % |
56) The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio:
The risk-free return during the sample period was 6%.
Calculate the Jensen measure of performance evaluation for Long Horn Stock Fund.
A) 1.33%
B) 4.00%
C) 8.67%
D) 31.43%
E) 37.14%
Answer
This answer is hidden. It contains 49 characters.
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