The Following Data Are Available Relating to the Performance of Wildcat

The following data are available relating to the performance of Wildcat Fund and the market portfolio: $$\begin{array} { | l | l | l | } \hline & \text { Wildeat } & \text { Market Portfolio } \\\hline \text { Average Return } & 18 \% & 15 \% \\\hline \text { Standard Deviation of Returns } & 25 \% & 20 \% \\\hline \text { Beta } & 1.25 & 1.00 \\\hline \text { Residual Standard Deviation } & 2 \% & 0 \% \\\hline\end{array}$$ 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) none of the above

Correct Answer:

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