The Following Data Are Available Relating to the Performance of Monarch

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: $$\begin{array} { l c c } && { \text { Market } } \\& \text { Monarch } & \text { Portfolio } \\\text { Average return } & 16 \% & 12 \% \\\text { Standard deviations of returns } &26 \% & 22 \% \\\text { Beta } & 1.15 & 1.00 \\\text { Residual standard deviation } &1\%&0\%\\\end{array}$$ The risk-free return during the sample period was 4%. Calculate Jensen's measure of performance for Monarch Stock Fund.

A) 1.00%
B) 2.80%
C) 44.00%
D) 50.00%

Correct Answer:

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