Financial Risk Manager Part 1
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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?
Regression chart (given):
- Scatter of excess returns with axes labeled: Excess Return on Market (%) (x-axis) and Excess Return on Portfolio (%) (y-axis).
- Regression equation shown on chart: y = 0.004936x + 0.037069 (R^2 = 0.5387)
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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?
Regression chart (given):
- Scatter of excess returns with axes labeled: Excess Return on Market (%) (x-axis) and Excess Return on Portfolio (%) (y-axis).
- Regression equation shown on chart: y = 0.004936x + 0.037069 (R^2 = 0.5387)
Options:
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