【每日一练】CFA 一级（2015年）

Question：

A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2. If the risk-free  rate of return is 2.5% and the market return is 11.8%, Jensen's alpha for the portfolio is closest to:
A. 1.84%. 
B. 3.70%. 
C. 4.34%. 

Answer = A 
Jensen's alpha = Rp – [Rf + βp(Rm – Rf)]
= 0.155 – [0.025 + 1.2 × (0.118 – 0.025)] = 0.0184. 

CFA Level I 
"Portfolio Risk and Return: Part II," Vijay Singal 
Section 4.3.2 

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