The Following Data Are Available Relating to the Performance of Sooner

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: $\begin{array}{lcc} & & \text { Market } \\ & \text { Sooner } & \text { Portfolio } \\\text { Average return } & 20 \% & 11 \% \\\text { Standard deviations of returns }& 44 \% & 19\% \\\text { Beta } & 1.8 & 1.0 \\\text { Residual standard deviation } & 2.0\% & 0.0\%\end{array}$ 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%

Correct Answer:

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