The Following Data Are Available Relating to the Performance of Sooner

question 63

Multiple Choice

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

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Definitions:

Time Value

The additional amount an investor is willing to pay for an option or other financial product based on its potential to increase in value over time.

Out-of-the-Money

Describes an option that would not result in a profit if exercised immediately because its strike price is less favorable compared to the market price of the underlying asset.

Exercise Price

The specified price at which the holder of an option contract can buy (for a call option) or sell (for a put option) the underlying asset.

Stock Price

The cost of purchasing a share of a company's stock.