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Question
| Sooner | Market Portfolio | |||||
| Average return | 20 | % | 11 | % | ||
| Standard reviations of returns | 44 | % | 19 | % | ||
| Beta | 8 | 1.0 | ||||
| Residual standard deviation | 2.0 | % | 0.0 | % | ||
40) The following data are available relating to the performance of Sooner Stock Fund and the market portfolio:
The risk-free return during the sample period was 3%.
Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.
A) 2.6%
B) 4.00%
C) 8.67%
D) 31.43%
E) 37.14%
Answer
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