What is the Jensen-Treynor alpha for Portfolio A?
Refer: To: 13-72
A) 0.41%
B) 0.25%
C) 0.33%
D) 0.29%
E) 0.38%

Question

Quizplus · Accepted Answer

The Jensen-Treynor alpha for Portfolio A is calculated using the formula: 
Jensen-Treynor alpha = portfolio return - risk-free rate - beta * (market return - risk-free rate)
= 11.2% - 6% - 0.8 * (14% - 6%) 
= 0.33%
This indicates that Portfolio A has outperformed the market (beta = 0.8) after adjusting for the level of risk taken (compared to the risk-free rate of 6%). Therefore, choosing Portfolio A could be a good choice for investors seeking higher returns than the market with some level of risk.

What Is the Jensen-Treynor Alpha for Portfolio A