The Following Data Are Available Relating to the Performance of Long

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: $$\begin{array} { | l | l | l | } \hline & \text { Long Horn } & \text { Market Portfolio } \\\hline \text { Average Return } & 19 \% & 12 \% \\\hline \text { Standard Deviation of Returns } & 35 \% & 15 \% \\\hline \text { Beta } & 1.5 & 1.0 \\\hline \text { Residual standard deviation } & 3.0 \% & 0.0 \% \\\hline\end{array}$$ 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%

Correct Answer:

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