Your Portfolio Actually Earned 6

question 77

Multiple Choice

Your portfolio actually earned 6.2 percent for the year. You were expecting to earn 8.6 percent based on the CAPM formula. What is Jensen's alpha if the portfolio standard deviation is 11.2 percent and the beta is .87?

• A) -3.91 percent
• B) -3.40 percent
• C) -2.96 percent
• D) -2.40 percent
• E) -1.87 percent

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Definitions:

Cooperative

A principle or a way of engagement that involves working together towards a common goal or mutual benefit.

Aggressive

Behaving or acting in a forceful, hostile, or determined way, often to dominate or injure others.

Adults

Individuals who have reached the age at which they are considered legally responsible for their actions and have attained full growth and development.

Educational Levels

The stages of formal learning, typically including primary, secondary, and tertiary education, along with further vocational or specialized training.