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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
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. Residual Standard Average Return Deviation Fund A 17.6% 10% Fund B 17.5% 20% Fund C 17.4% 30% The fund with the highest Jensen measure is Beta 1.2 1.0 0.8 Select one: A. Fund A. B. Fund B. C. Fund C. D. Funds A and C (tied for highest). O E. Funds A and B (tied for highest)
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