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 12.1 percent and the beta is 0.93?
A) −3.91 percent
B) −3.40 percent
C) −2.96 percent
D) −2.40 percent
E) −1.87 percent

Question

Quizplus · Accepted Answer

Jensen's alpha = 6.2 percent − 8.6 percent = − 2.4 percent

Your Portfolio Actually Earned 6