Assume that the risk-free rate is 6% and the expected market return is 16%. The expected returns and the betas of the following 4 securities are given below:

Stock	Exp.return	Beta
A	16%	1.2
B	22%	1.4
C	14%	0.8
D	11%	0.6

What is the alpha of an equally-weighted portfolio that consists of all over-priced securities?

a.

-0.5%

b.

-1%

c.

1.5%

d.

-2%

e.

0.5%

f.

-1.5%

g.

2%

h.

1%