A Portfolio Has a Beta of 1

question 15

Multiple Choice

A portfolio has a beta of 1.30 and an actual return of 15.5%. The risk-free rate is 3.5% and the market risk premium is 8.2%. What is the value of Jensen's alpha?

• A)−.86%
• B)1.01%
• C)1.14%
• D)1.23%
• E)1.34%

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