The Following Data Are Available Relating to the Performance of Long

question 59

Multiple Choice

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: $$\begin{array} { | l | l | l | } \hline & \text { Long Horn } & \text { Market Portfolio } \\\hline \text { Average Return } & 19 \% & 12 \% \\\hline \text { Standard Deviation of Returns } & 35 \% & 15 \% \\\hline \text { Beta } & 1.5 & 1.0 \\\hline \text { Residual standard deviation } & 3.0 \% & 0.0 \% \\\hline\end{array}$$ The risk-free return during the sample period was 6%.
-Calculate the Jensen measure of performance evaluation for Long Horn Stock Fund.

• A)1.33%
• B)4.00%
• C)8.67%
• D)31.43%
• E)37.14%

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