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If the Average Realized Return of a Portfolio Is 27

Question 1

Multiple Choice

If the average realized return of a portfolio is 27.5% per year, the standard deviation of returns is 50%, the portfolio beta is 1.25, the average return of Treasury bills over the same period is 2.5% per year, and the average return on the market is 12.5% per year, the Jensen measure is


A) 0
B) 5%
C) 10%
D) 15%

Correct Answer:

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