Answer-first summary for fast verification
Answer: 2.70%
B is correct. The formula that shows the link between the Treynor performance index (TPI) and Jensen's alpha (α) is as follows: \[ TPI = \frac{\alpha}{beta} + (R_m - R_t) \] \[ 0.08 = \frac{\alpha}{0.65} + (0.056 - 0.0175) \] \[ \alpha = 0.026975 \] A is incorrect. This is obtained from \( 0.08 - 0.056 = 0.024 \). C is incorrect. This is obtained from \( (0.08 - 0.056) / 0.65 = 0.03692307692 \). D is incorrect. This is obtained from \( 0.0175 + 0.024 = 0.0415 \).
Author: LeetQuiz Editorial Team
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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%
