You have just run a regression of monthly returns on FIRE, a medical marijuana company, against returns on the S&P/TSXComposite Index, and arrived at the following result:

R_FIRE= -0.05% + 1.20 R_S&P/TSX

(0.15)

The regression has an R²of 22%. The one-year Treasury bill rate is 6%. The market risk premium based on an arithmetic average is 8%. The market risk premium based on a geometric average is 7%.

5.What is the annual Jensen's Alpha of Fire over the estimation period?

A.0.570%

B.0.321%

C.1.205%

D.1.689%