A Portfolio Generates an Annual Return of 16%,a Beta of 1.2

question 42

Multiple Choice

A portfolio generates an annual return of 16%,a beta of 1.2 and a standard deviation of 19%.The market index return is 12% and has a standard deviation of 16%.What is Jensen's alpha of the portfolio if the risk free rate is 6%?

• A) .017
• B) .028
• C) .036
• D) .078

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