Question
The following data is available relating to the performance of a hedge fund and the market portfolio. The risk-free rate of return during the sample
The following data is available relating to the performance of a hedge fund and the market portfolio. The risk-free rate of return during the sample period was 1.08%. What is the Jensen measure of performance evaluation (in percentage) for the hedge fund?
| Hedge Fund | Market Portfolio | ||
| Average return | 12.26% | 7.55% | |
| Standard deviations of returns | 38.10% | 8.96% | |
| Beta | 1.69 | 1.00 |
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Small Brewery Finance
Authors: Maria Pearman
1st Edition
1938469526, 978-1938469527
