The Following Data Are Available Relating to the Performance of Long

question 65

Multiple Choice

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: $$\begin{array} { l c c } & & \text { Market } \\& \text { Long Horn}& \text { Portfolio } \\\text { Average return } & 19 \% & 12 \% \\\text { Standard deviations of returns } & 35 \% & 15 \% \\\text { Beta } & 1.5 & 1.0 \\\text { Residual standard deviation } & 3.0 \% & 0.0 \% \\\end{array}$$ 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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