Explanation:
B is correct. The formula that shows the link between the Treynor performance index (TPI) and Jensen's alpha (α) is as follows:
A is incorrect. This is obtained from . C is incorrect. This is obtained from . D is incorrect. This is obtained from .
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A risk analyst at an asset management firm is reviewing the historical performance of an internally managed equity fund. Over the past year, the analyst has gathered the following data:
Using this information, calculate the Jensen’s alpha for the equity fund during the same period.
A
2.40%
B
2.70%
C
3.69%
D
4.15%
