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You want to evaluate three mutual funds using the Jensen measure for performance evaluation. The risk-free...

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 Standard deviation Beta
Fund A 20% 20% 1.1
Fund B 18% 25% 1
Fund C 16% 30% 0.9


  

The fund with the highest Jensen measure is

A.

Fund C.
B.

Funds A and B (tied for highest).
C.

Funds A and C (tied for highest).
D.

Fund A.
E.

Fund B.
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