题目
While the risk-free rate was 4.0%, a portfolio's realized a return of 14.0% exactly matched the return of its benchmark, the market index, which also returned 14.0%. The portfolio's covariance (of returns) with the market index was 0.01440 and the market's volatility was 20.0%. What was the Jensen's alpha of the portfolio?
选项
A.-1.6%
B.Zero
C.3.2%
D.6.4%
答案
D
解析
Beta (P, M) = Cov(P,M)/Variance(M) = 0.01440/0.20^2 = 0.36. Jensen's alpha = 14% - 4% - 0.36*(14%-4%) = 6.4%.