You are evaluating the past 3-year performance of a well-diversified portfolio for your firm

Finance Nov 13, 2020

You are evaluating the past 3-year performance of a well-diversified portfolio for your firm. You have estimated the following (all are already in annual terms): the risk-free rate is 2.5%, the market return is 13.8%, the Std Dev of the portfolio is 17%, the Std Dev of the market is14%, the portfolio beta is 0.61, and the actual portfolio return over this period was 11.5%. What was the Jensen alpha over this period?

a. 11.30%

b. 2.11%

c. 9.399

d. there is insufficient information to calculate the alpha

e. 2.509

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