You Want to Evaluate Three Mutual Funds Using the Jensen

question 41

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. $$\begin{array} { | l | l | l | l | } \hline & \text { Average Return } & \text { Standard. Deviation } & \text { Beta } \\\hline \text { Fund } \mathrm { A } & 17.6 \% & 10 ^ { \circ } \% & 1.2 \\\hline \text { Fund B } & 17.5 ^ { \circ } \% & 20 ^ { \circ } \% & 1.0 \\\hline \text { Fund C } & 17.4 ^ { \circ } \% & 30 ^ { \circ } \% & 0.8 \\\hline\end{array}$$ 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

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Definitions:

Avolition

A reduction in the motivation to initiate and perform self-directed purposeful activities.

Flat Affect

A severe reduction in emotional expressiveness, with individuals often displaying minimal facial expressions or vocal tone variability.

Inappropriate Affect

A clinical symptom where an individual's emotional expression is incongruent with the situation or their internal state.

Alogia

A symptom of schizophrenia and other psychotic disorders characterized by a significant reduction in the amount of speech.