The Following Data Are Available Relating to the Performance of Monarch

Multiple Choice

The following data are available relating to the performance of Monarch Stock Fund and the market portfolio: $\begin{array}{lcc} & \text { Monarch } & \text { Market } \\ &&\text { Portfolio }\\\text { Average return } & 16 \% & 12\% \\\text { Standard deviations of returns } & 26\% & 22\% \\\text { Beta } & 1.15 & 1.00 \\\text { Residual standard deviation } &1 \% & 0 \%\end{array}$
The risk-free return during the sample period was 4%.
Calculate Jensen's measure of performance for Monarch Stock Fund.

A) 1.00%
B) 2.80%
C) 44.00%
D) 50.00%