题目
You are analyzing a portfolio that has a Jensen’s alpha of 4.75% and an actual return of 14.2%. The risk-free rate is 4.25% and the equity risk premium is 6%. Based on the information provided, the beta of the portfolio is closest to:
选项
A.0.77
B.0.87
C.0.97
D.1.07
答案
B
解析
1. Jensen’s alpha = actual return - expected return using CAPM2. CAPM E(R) = risk-free rate beta × (return on the market - risk-free rateUse Jensen’s alpha of 4.75% and the actual return of 14.2%. The expected return fromCAPM must be 14.2% - 4.75% = 9.45%.Use this value in the CAPM to find the beta of the portfolio.expected return = risk-free rate beta × equity risk premium9.45% = 4.25% β × 6%, therefore β = approximately 0.87.1. Jensen的alpha =实际收益-使用CAPM的预期收益2. CAPM E（R）=无风险利率 beta×（市场收益-无风险利率）使用Jensen的alpha为4.75％，实际收益为14.2％ 。CAPM的预期收益必须为14.2％-4.75％= 9.45％。在CAPM中使用此值来找到投资组合的Beta。预期收益=无风险利率 beta×股票风险溢价9.45％= 4.25％ β×6％，因此β=大约0.87。