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Homework answers / question archive / The following data are available relating to the performance of Marie Holdings Stock Fund and the market portfolio: Marie Holdings 0
The following data are available relating to the performance of Marie Holdings Stock Fund and the market portfolio: Marie Holdings 0.11 Average Return Std. Dev. of Returns Beta Tracking Error Average PE Market 0.15 0.30 1.00 0.29 0.90 0.13 16.00 15.00 The risk-free rate during the sample period was 0.07. Question 31 Not yet answered Marked out of 1.00 P Flag question Calculate the Jensen measure of performance for Marie Holdings Fund. Select one: O a. 0.0444 O b.-0.0386 O c. none of these, or insufficient information O d. 0.1379 O e. -0.3077
c. None of these
Jensen's measure = Rp - (Rf + (Rm - Rf)B)
Rp = 0.11
Rf = 0.07
Rm = 0.15
Beta = 0.9
Jensen's measure = 0.11 - (0.07 + (0.15 - 0.07)0.9)
= 0.11 -(0.07 + 0.072)
=-0.032
