Asked by cemsid miroglu on May 27, 2024
Verified
The following data are available relating to the performance of Sooner Stock Fund and the market portfolio:
The risk-free return during the sample period was 3%.
Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.
A) 2.6%
B) 4.00%
C) 8.67%
D) 31.43%
E) 37.14%
Jensen Measure
A performance metric that calculates the excess return of a portfolio over the predicted return by the Capital Asset Pricing Model (CAPM).
Risk-Free Return
The return on an investment with no risk of financial loss, typically associated with government bonds.
- Master the theoretical underpinnings and quantitative analysis of risk-adjusted metrics like the Treynor measure, Sharpe measure, and Jensen's alpha.
Verified Answer
AS
Learning Objectives
- Master the theoretical underpinnings and quantitative analysis of risk-adjusted metrics like the Treynor measure, Sharpe measure, and Jensen's alpha.
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