Jensen's alpha = actual return − expected return using the capital asset pricing model (CAPM)

CAPM E(R) = risk-free rate + beta (return on the market − risk-free rate)
Return on the market − risk-free rate = equity risk premium

Using the Jensen's alpha of 3.25 and the actual return of 14.4%, the expected return from the CAPM must be 14.4 − 3.25 = 11.15%. We can use the CAPM to find the beta of the portfolio:

Expected return = risk-free rate + beta (equity risk premium)
11.15 = 5.25 + β(5.75); therefore, β = approximately 1.026

(Book 1, Module 5.2, LO 5.f)