20. Should ORCL be added to the portfolio of SPY shares and why? A. Yes, ORCL has positive Jehnsen Alpha B. No, M for ORCL is negative C. No, Sharpe ratio of ORCL is less than that of the market D. Yes, Potential Sharpe Ratio of the investment after adding ORCL to SPY improves You currently hold a portfolio that has SPY ETF in it (SPY is an Exchange traded Fund that follows S&P 500 performance and therefore approximates the Market). You are considering adding ORCL stock to it. Table below summarizes historical data analysis of the SPY, ORCL, and portfolio of SPY+ ORCL performance. It also has regression analysis summary information. Use this table to answer next 7 questions: Portfolio of SPY ORCL Portfolio of (SPY+ORCL) Average Variance St. Dev. 0.12% 0.000030 0.55% 0.18% 0.000117 1.08% 0.13% 0.000034 0.58% Rf= 0.05% Intercept Beta 0.0005 1.032 0.0001 1.006 1 ST.Dev. (el) Var (el) 0.92% 0.000085 0.16% 0.000003 R (CAPM Predicted) Jehnsen alpha Treynor Index Sharpe Ratio 0.0007 0.1273 0.0013 0.1204 0.0008 0.1379