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		Residual Standard Deviation		Beta
Fund A	17.6	%	10	%	1.2
Fund B	17.5	%	20	%	1.0
Fund C	17.4	%	30	%	0.8

The fund with the highest Jensen measure is

Multiple Choice

• Fund A.

• Fund B.

• Fund C.

• Funds A and B (tied for highest).

• Funds A and C (tied for highest).