The Following Information Is to Be Used to Answer Questions

Multiple Choice

The following information is to be used to answer questions 13-17.
$\begin{array}{llcc}\underline{ \text { SD }} &\underline{ \text {Beta }}&\underline{ \text {alpha }}&\underline{ \text { \(\mathrm{R}^{2}\) }} \\ \text { Fund 11.97 } &1.0&1.3&0.95\\ \text { Fund 22.94 } &0.8&0.6^*&0.80\\ \text { Fund 33.82} &1.2&-3.5&0.90\\ \text { Fund 44.70 } &1.4&4.2&065\\ &\\\end{array}$
$\text { *Significant at the } 5 \text { percent level }$
-Which of these funds had the highest performance as determined by Jensen's performance measure?

A) Fund 1
B) Fund 2
C) Fund 3
D) Fund 4
Solution: Fund 2 has the only positive and statistically significant alpha