Use the Information for the Question(s)below

question 82

Multiple Choice

Use the information for the question(s) below.
Suppose that the risk-free rate is 5% and the market portfolio has an expected return of 13% with a volatility of 18%.Monsters Inc.has a 24% volatility and a correlation with the market of .60,while California Gold Mining has a 32% volatility and a correlation with the market of -.7.Assume the CAPM assumptions hold.
-Suppose that Monsters' expected return is 12%.Then Monsters' alpha is closest to:

• A)-2.0%.
• B)-1.0%.
• C)1.0%.
• D)0.5%.

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