A portfolio has an actual return of 15.17 percent,a beta of 0.90,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) 2.83 percent
E) 3.04 percent

Question

Quizplus · Accepted Answer

Jensen's alpha = 0.1517 − [0.028 + 0.90 (0.134 − 0.028)] = 2.83 percent

A Portfolio Has an Actual Return of 15