A Diversified Portfolio Has a Beta of 1

question 21

Multiple Choice

A diversified portfolio has a beta of 1.47 and a raw return of 14.28 percent.The market return is 11.74 percent and the market risk premium is 7.85 percent.What is Jensen's alpha of the portfolio?

• A) −1.15 percent
• B) −0.86 percent
• C) −0.29 percent
• D) 0.48 percent
• E) 0.62 percent

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Definitions:

Body

The physical structure of an organism, including its organs and tissues.

Osmolarity

The number of osmoles of solute per liter of solution. See osmole.

Osmoles

Osmoles measure the amount of solute that contributes to the osmotic pressure of a solution, reflecting the concentration of particles that can move freely across a semipermeable membrane.

Solution

A homogeneous mixture composed of two or more substances, where one substance (the solute) is dissolved in another (the solvent).