《Foundations of Risk Management》精选题解析II

时间:2017-11-02 16:15 作者:FRM考试网 来源:原创

A risk manager is evaluating a portfolio of equities with an annual volatility of 12.1%per year that is benchmarked to the Straits Times Index.If the risk-free rate is 2.5%per year,based on the regression results given in the chart below,what is the Jensen's alpha of the portfolio?
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A.0.4936%
 
B.0.5387%
 
C.1.2069%
 
D.3.7069%
 
 
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Answer:D
 
The correct answer is D.The Jensen's alpha is equal to the y-intercept,or the excess return of the portfolio when the excess market return is zero.Therefore,it is 3.7069%.
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