Suppose the Risk-Free Return Is 4

question 27

Multiple Choice

Suppose the risk-free return is 4%. The beta of a managed portfolio is 1.2, the alpha is 1%, and the average return is 14%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

• A) 11.5%.
• B) 14%.
• C) 15%.
• D) 16%.