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. -2%

b. 2%

c. 0.5%

d. -0.5%

e. -1%

f. -1.5%

g. 1.5%

h. 1%