A. If the fund has net positive beta, a11 of the alpha must come from the market.
B. Ifthe fund has net negative beta, part ofthe alpha comes from the market.
C. Ifthe fund has net positive beta, part ofthe alpha comes from the market.
D. Ifthe fund has net negative beta, a11 ofthe alpha must come from the market.
Because the market went up, a portfolio with positive beta will have part of its positive performance due to the marke effect.
A portfolio with negative beta will have in part a negative performance due to the market. Answer A) is incorrect,
because the fund manager could still have generated some of its alpha through judicious stock picking.
Answers B and D are incorrect, because a negative beta combined with a rising market should lead to a decrease,not an increase,in the alpha.