You have $10,000 to invest and decide to invest in a combination of a riskless asset (f), a stock index fund (S), and a long-term bond fund (B), with the following properties:

• Asset: E(r) / Standard Deviation / Beta

• Riskless Asset (f): 0.04 (4%) / 0.00 / 0
• Stock index fund (S): 0.10 / 0.25 / 1.2
• Long-term bond fund (B): 0.06 / 0.15 / 0.4

The correlation of the returns between the long-term bond fund and the stock index fund equals 0.3. The market portfolio is defined as 66% of stock S and 34% of the bond B.

You find an additional security in the market, Metenojo Inc, with the following properties: The expected return of Metenojo Inc is the same as the portfolio that invests 24% in the market portfolio and 76% in the risk-free asset. The beta of Metenojo Inc is the same as the portfolio that invests 10% in fund S and 90% in fund B.

(f) What is alpha of Metenojo?