A portfolio manager realized an average annual return of 12%. The beta of the portfolio is 1.1 and the standard deviation of returns is 30%. The average annual return for the market index is 10% and the standard deviation of the market returns is 25%. The risk-free rate is 5%. Calculate Jensen's alpha for the portfolio.

Select one:

a. -0.50%

b. 0.50%

c. 1.50%

d. -1.50%