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A risk manager is evaluating a portfolio of equities with an annual volatility of 12.1% per year that is benchmarked to the Straits Times Index. If the risk-free rate is 2.5% per year, based on the regression results given in the chart below, what is the Jensen's alpha of the portfolio?
A
0.4936%
B
0.5387%
C
1.2069%
D
3.7069%