A Stock Had a Return of 16

question 11

Multiple Choice

A stock had a return of 16.4 percent and a beta of 1.2. The market return was 12.1 percent and the risk-free rate was 5.2 percent. What is the Jensen-Treynor alpha for the stock?

• A) 2.82%
• B) 2.43%
• C) 2.74%
• D) 2.92%
• E) 2.51%

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Definitions:

Coefficient of Determination

A statistical measure, often denoted as \(R^2\), which quantifies the amount of variance of the dependent variable that can be explained by the independent variable(s).

Coefficient of Correlation

A mathematical indicator that evaluates the intensity of the connection between two factors.

Sum of Squares

A measure used in statistical analyses to quantify the variation or deviation of data points from their mean; the total of each data point's squared difference from the mean.

Regression SSR

Regression SSR (Sum of Squares for Regression) quantifies the variation explained by the linear model in regression analysis.