Question
The expected returns, standard deviations, and betas for three funds are given below along with data for the S&P 500 index. The risk-free rate of
The expected returns, standard deviations, and betas for three funds are given below along with data for the S&P 500 index. The risk-free rate of return is 4%.
What is the alpha of portfolio A?
Portfolio | Expected return | Standard deviation | Beta |
A | 11.6% | 30% | 1.1 |
B | 11.1% | 25% | 1.0 |
C | 10.4% | 30% | 1.3 |
S&P 500 | 9% | 15% | 1.0 |
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Financial Management For Decision Makers
Authors: Peter Atrill
7th Edition
129201606X, 978-1292016061
