You Want to Evaluate Three Mutual Funds Using the Jensen

question 53

Multiple Choice

You want to evaluate three mutual funds using the Jensen measure for performance evaluation.The risk-free return during the sample period is 6%,and the average return on the market portfolio is 18%.The average returns,standard deviations,and betas for the three funds are given below. $$\begin{array}{l}\begin{array} { l l l l } \text { Average Return } & \text { Standard Deviation }&\text { Beta } \\\text { Fund A } &17.6 \% & 10 \% & 1.2\\\text { Fund B } &17.5\%&20\%&1.0\\\text { Fund C } &17.4\%&30\%&0.8\\\end{array}\end{array}$$
The fund with the highest Jensen measure is _________.

• A) Fund A
• B) Fund B
• C) Fund C
• D) Funds A and B are tied for highest
• E) Funds A and C are tied for highest