Question

Wildcat Market Portfolio
Average return 18 % 15 %
Standard deviations of returns 25 % 20 %
Beta 25 1.00
Residual standard deviation 2 % 0 %

53) The following data are available relating to the performance of Wildcat Fund and the market portfolio:

The risk-free return during the sample period was 7%.

Calculate Jensen's measure of performance for Wildcat Fund.

A) 1.00%

B) 8.80%

C) 44.00%

D) 50.00%

E) 55.00%

Answer

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