A Portfolio Has an Actual Return of 15

question 32

Multiple Choice

A portfolio has an actual return of 15.17 percent, a beta of .93, and a standard deviation of 7.2 percent. The market return is 13.4 percent and the risk-free rate is 2.8 percent. What is the portfolio's Jensen's alpha?

• A) 2.25 percent
• B) 2.51 percent
• C) 2.67 percent
• D) 3.96 percent
• E) 4.04 percent

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Definitions:

Salvage Value

The estimated residual value of an asset at the end of its useful life, representing what it could be sold for or its scrap value.

Straight-Line

A depreciation method that equally spreads the cost of an asset over its useful life.

Annual Rate of Return

The yearly profit from an investment, expressed as a percentage of the original investment.

Quantitative Techniques

Mathematical or statistical methods applied for analyzing numerical data, often used in decision-making processes.