Question：
A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2. If the risk-free rate of return is 2.5% and the market return is 11.8%, Jensen's alpha for the portfolio is closest to:
A. 1.84%.
B. 3.70%.
C. 4.34%.
Answer = A
Jensen's alpha = Rp – [Rf + βp(Rm – Rf)]
= 0.155 – [0.025 + 1.2 × (0.118 – 0.025)] = 0.0184.
CFA Level I
"Portfolio Risk and Return: Part II," Vijay Singal
Section 4.3.2
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