The US Treasury Bill Has a Return of 3

question 9

Multiple Choice

The U.S. Treasury bill has a return of 3.27 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) 1.41 percent
• E) 1.57 percent