Consider the following information:

Portfolio

Expected Return

Beta

Risk-free

5

%

0

Market

11.8

1.0

A

9.8

2.2

a. Calculate the the return predicted by CAPM for a portfolio with a beta of 2.2. (Round your answer to 2 decimal places.)

Return %

b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.)

Alpha %

c. If the simple CAPM is valid, is the situation above possible?

	Yes
	No