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The Following Data Are Available Relating to the Performance of Sooner

question 30

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The following data are available relating to the performance of Sooner Stock Fund and the market portfolio:  Market  Sooner  Portfolio  Average return 20%11% Standard deviations of returns 44%19% Beta 1.81.0 Residual standard deviation 2.0%0.0%\begin{array}{lcc} & & \text { Market } \\ & \text { Sooner } & \text { Portfolio } \\\text { Average return } & 20 \% & 11 \% \\\text { Standard deviations of returns }& 44 \% & 19\% \\\text { Beta } & 1.8 & 1.0 \\\text { Residual standard deviation } & 2.0\% & 0.0\%\end{array} The risk-free return during the sample period was 3%. Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.


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