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Question
The return on a portfolio during a particular period was 13 percent, the risk-free rate was 6 percent, the return on the market was 12 percent, and the portfolio beta was 1.2. The performance of the portfolio (according to Jensen's measure) was __________ the market.a. inferior to
b. superior to = (13 ' 6) ' [1.2(13 ' 6)]
c. the same as = -0.2 percent
d. not compared to Negative alpha, if statistically significant, means inferior performance.
Answer
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