题目
During the most recent period, a Portfolio returned 10.3% when the Market return was only 8.0%. The risk-free rate was 2.0%. The Market's return was 8.0% with volatility of 29.0%. Finally, the covariance between the portfolio and Market was 0.134560. Under the CAPM, did the portfolio outperform?
选项
A.No, Jensen's alpha is -1.30%.
B.No, Jensen's alpha is -0.50%.
C.Yes, Jensen's alpha is +0.50%.
D.Yes, Jensen's alpha is +1.30%.
答案
A
解析
「huixue_img/importSubject/1564170578779312128.png」市场风险溢价 = 8%－2%=6%β (i,M)=covariance(i, M)/variance(M) =0.134560/29%2=1.60 使用CAPM模型, 因此Jensen‘s alpha为10.3%－11.6%=－1.30%