multiple-choice questions

You want to evaluate three mutual funds using the Jensen measure for performance evaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 18%. The average returns, standard deviations, and betas for the three funds are given below. Average return Standard deviation Beta Fund A 20% 20% 1.2 Fund B 18% 25% 1 Fund C 16% 30% 0.8 The fund with the highest Jensen measure is O A. Funds A and C (tied for highest). Fund A. OB. OC. Funds A and B (tied for highest). OD. Fund B. Fund C. OE