A diversified portfolio has a beta of 1.47 and a raw return of 14.28 percent. The market return is 11.74 percent and the market risk premium is 7.85 percent. What is Jensen's alpha of the portfolio?

61.    A diversified portfolio has a beta of 1.47 and a raw return of 14.28 percent. The market return is 11.74 percent and the market risk premium is 7.85 percent. What is Jensen's alpha of the portfolio?

 

A.     -1.15 percent

B.     -0.86 percent

C.     -0.29 percent

D.     0.48 percent

E.     0.62 percent

 

62.    A portfolio has an actual return of 15.17 percent, a beta of .85, and a standard deviation of 7.2 percent. The market return is 13.4 percent and the risk-free rate is 2.8 percent. What is the portfolio's Jensen's alpha?

 

A.     2.25 percent

B.     2.51 percent

C.     2.67 percent

D.     3.36 percent

E.     4.04 percent

 

63.    A portfolio has a Jensen's alpha of 0.82 percent, a beta of 1.40, and a CAPM expected return of 13.7 percent. The risk-free rate is 2.5 percent. What is the actual return of the portfolio?

 

A.     15.5 percent

B.     16.1 percent

C.     16.8 percent

D.     19.6 percent

E.     21.9 percent

 

64.    What is the Treynor ratio of a portfolio comprised of 45 percent portfolio A and 55 percent portfolio B?

  

The risk-free rate is 3.12 percent and the market risk premium is 8.5 percent.

 

A.     .041

B.     .058

C.     .069

D.     .114

E.     .136

 

65.    What is the Treynor ratio of a portfolio comprised of 25 percent portfolio A, 35 percent portfolio B, and 40 percent portfolio C?

  

The risk-free rate is 3.6 percent and the market risk premium is 8.2 percent.

 

A.     .054

B.     .062

C.     .070

D.     .081

E.     .102

 

66.    What is Jensen's alpha of a portfolio comprised of 45 percent portfolio A and 55 percent of portfolio B?

  

The risk-free rate is 3.1 percent and the market risk premium is 6.8 percent.

 

A.     -1.25 percent

B.     0.47 percent

C.     1.08 percent

D.     1.46 percent

E.     2.04 percent

 

67.    A stock has a return of 16.18 percent and a beta of 1.47. The market return is 10.65 percent and the risk-free rate is 3.20 percent. What is the Jensen-Treynor alpha of this stock?

 

A.     -1.12 percent

B.     -0.17 percent

C.     0.66 percent

D.     1.38 percent

E.     1.59 percent

 

68.    A stock has a return of 16.9 percent, a standard deviation of 11.7 percent, and a beta of 1.50. The risk-free rate is 2.65 percent and the market risk premium is 8.45 percent. What is the Jensen-Treynor alpha of this stock?

 

A.     -1.37 percent

B.     -1.09 percent

C.     -0.48 percent

D.     0.89 percent

E.     1.05 percent

 

69.    A portfolio consists of the following two funds.

  

What is the Sharpe ratio of the portfolio?

 

A.     .39

B.     .45

C.     .52

D.     .60

E.     .64

 

70.    A portfolio consists of the following two funds.

  

What is the Sharpe ratio of the portfolio?

 

A.     0.422

B.     0.547

C.     0.645

D.     0.721

E.     0.798

 

                                        

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