Exhibit 25 -Refer to Exhibit 25

question 90

Multiple Choice

Exhibit 25.9
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider the following information for four portfolios, the market and the risk free rate (RFR) : $$\begin{array} { l c l l } \text { Portfolio } & \text { Return } & \text { Beta } & { \text { SD } } \\\hline \text { A1 } & 0.15 & 1.25 & 0.182 \\\text { A2 } & 0.1 & 0.9 & 0.223 \\\text { A3 } & 0.12 & 1.1 & 0.138 \\\text { A4 } & 0.08 & 0.8 & 0.125 \\\text { Market } & 0.11 & 1 & 0.2 \\\text { RFR } & 0.03 & 0 & 0\end{array}$$
-Refer to Exhibit 25.9. Calculate the Jensen alpha Measure for each portfolio.

• A)A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02
• B)A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014
• C)A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014
• D)A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14
• E)None of the above

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Definitions:

Hypothesis

A statement that attempts to predict or to account for a set of phenomena; scientific hypotheses specify relationships among events or variables and are empirically tested.

Axiom

A statement or proposition that is regarded as being established, accepted, or self-evidently true.

Corollary

A proposition that follows from one already proven, often seen as a natural consequence or result.

Theory

A system of ideas intended to explain something, based on general principles independent of the thing to be explained.