The Average Returns, Standard Deviations and Betas for Three Funds

question 25

Multiple Choice

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%. You wish to evaluate the three mutual funds using the Jensen measure for performance evaluation. The fund with the highest Jensen measure of performance is ________.

• A)Fund A
• B)Fund B
• C)Fund C
• D)S&P500

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