Financial Risk Manager Part 1
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Portfolio A has an expected return of 8%, volatility of 20%, and beta of 0.5. Assume that the market has an expected return of 10% and volatility of 25%. Also assume a risk-free rate of 5%. What is Jensen's alpha for portfolio A?
Portfolio A has an expected return of 8%, volatility of 20%, and beta of 0.5. Assume that the market has an expected return of 10% and volatility of 25%. Also assume a risk-free rate of 5%. What is Jensen's alpha for portfolio A?
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A
0.5%
B
1.0%
C
10%
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