Exhibit 25.12 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) An analyst is considering investing in funds A, B, C, and D. The market portfolio, M, is expected to be 11% next period and the risk-free rate of return is 3%. The market portfolio had a standard deviation over the past ten years of 0.20. The analyst gathered the following information on the four funds. Stock T T A B C D Return 17% 20% 10% 15% Beta 1.7 2.1 0.9 1.2 S 21 .25 12 .16 1 Refer to Exhibit 25.12. Compute the Jensen Measure for the C fund. 0.16% 1.80% 7.20% 9.00% 09.13% Exhibit 25.12 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) An analyst is considering investing in funds A, B, C, and D. The market portfolio, M, is expected to be 11% next period and the risk-free rate of return is 3%. The market portfolio had a standard deviation over the past ten years of 0.20. The analyst gathered the following information on the four funds. Stock T T A B C D Return 17% 20% 10% 15% Beta 1.7 2.1 0.9 1.2 S 21 .25 12 .16 1 Refer to Exhibit 25.12. Compute the Jensen Measure for the C fund. 0.16% 1.80% 7.20% 9.00% 09.13%