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You've collected the following historical information for a mutual fund. What is Jensen's alpha for the fund? Return on risky portfolio: 10% Beta of risky

You've collected the following historical information for a mutual fund. What is Jensen's alpha for the fund?

  • Return on risky portfolio: 10%
  • Beta of risky portfolio: 0.5
  • Treasury bill rate: 3%
  • Return on S&P 500: 5.2%
A.

6.3%
B.

5.9%
C.

6.1%
D.

5.5%

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