Question
The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: Sooner Market Portfolio Average return 20% 11% Standard
The following data are available relating to the performance of Sooner Stock Fund and the market portfolio:
|
| Sooner | Market Portfolio |
| Average return | 20% | 11% |
| Standard deviation of returns | 44% | 19% |
| Beta | 1.8 | 1.0 |
| Residual standard deviation | 2.0% | 0.0% |
The risk-free return during the sample period was 3%. Calculate the Jensen alpha measure of performance evaluation for Sooner Stock Fund.
| A. | 8.67% | |
| B. | 37.14% | |
| C. | 2.6% | |
| D. | 4.0% | |
| E. | 31.43% |
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Entrepreneurship
Authors: Andrew Zacharakis, William D Bygrave
5th Edition
9781119563099
