如题

问题如下：

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?

选项：

A.

0.4936%

B.

0.5387%

C.

1.2069%

D.

3.7069%

解释：

Excess Return on Portfolio=0.4936×Excess Return on Market + 3.7069.

The Jensen's alpha is equal to the y-intercept, or the excess return of the portfolio when the excess market return is zero. Therefore it is 3.7069%.