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%

Question

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%

Quizplus · Accepted Answer

α_P = 20% - [3% + 1.8(11% - 3%)] = 2.6%.

The Following Data Are Available Relating to the Performance of Sooner