The Following Data Are Available Relating to the Performance of Monarch

question 56

Multiple Choice

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Monarch } & \text { Market } \\ &&\text { Portfolio }\\\text { Average return } & 16 \% & 12\% \\\text { Standard deviations of returns } & 26\% & 22\% \\\text { Beta } & 1.15 & 1.00 \\\text { Residual standard deviation } &1 \% & 0 \%\end{array}$
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%

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