The USTreasury Bill Has a Return of 2

question 48

Multiple Choice

The U.S.Treasury bill has a return of 2.84 percent while the S&P 500 is returning 10.84 percent.Your portfolio has an actual return of 14.76 percent and a beta of 1.31.What is the portfolio's Jensen's alpha?

• A) −0.47 percent
• B) −0.92 percent
• C) 1.37 percent
• D) 1.44 percent
• E) 1.57 percent