A RISK MANAGER IS EVALUATING A PORTFOLIO OF EQUITIES WITH AN ANNUAL...
7.
A risk manager is evaluating a portfolio of equities with an annual volatility of 12.1% per year that is bench-
marked 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?
y = 0.4936x + 3.7069
R
2
= 0.5387
a.
0.4936%
b.
0.5387%
c.
1.2069%
d.
3.7069%