Question
The following data are available relating to the performance of GE Fund and the market portfolio: GE Market Portfolio Average Return 16% 12% Standard Deviation
The following data are available relating to the performance of GE Fund and the market portfolio:
| GE | Market Portfolio | |
| Average Return | 16% | 12% |
| Standard Deviation of Returns | 26% | 22% |
| Beta | 1.15 | 1.00 |
The risk-free return during the sample period was 4%.
Calculate Jensen's measure of performance for GE Fund.
a) 1.00%
b) 2.80%
c) 44.00%
d) 50.00%
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International Financial Reporting A Practical Guide
Authors: Alan Melville
6th edition
1292200743, 1292200766, 9781292200767, 978-1292200743
