You are evaluating the past 3-year performance of a well-diversified portfolio for your firm.

You have estimated the following (all are already in annual terms): the risk-free rate is 2.5%, the market return is 13.8%, the Std Dev of the portfolio is 16%, the Std Dev of the market is 14%, the portfolio beta is 0.46, and the actual portfolio return over this period was 9.5%.

What was the Jensen alpha over this period?

Select one:

a. 1.80%

b. 7.70%

c. 2.50%

d. 11.30%

e. there is insufficient information to calculate the alpha