You have run a regression of monthly returns for Cyprus Industries, a publicly traded chemical company, against the S&P 500 and obtained the following:

• ReturnsCyprus = -0.15% + 1.80*ReturnsS&P 500
• R2 = 35%
• The average annual risk free rate during the period 3.60%.

On a market-adjusted, risk-adjusted basis, how well did Cyprus do during this time period? In other words, what is the annualized Jensen's alpha?

a.

About 1.08% worse than expected

b.

About 1.80% better than expected

c.

About -1.80% worse than expected

d.

None of the above

e.

About 1.08% better than expected