Suppose the Risk-Free Return Is 6

question 65

Multiple Choice

Suppose the risk-free return is 6%. The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as

• A) 12%.
• B) 14%.
• C) 15%.
• D) 16%.