Bonus Question: What is the Jensen alpha of a portfolio comprised of 50% Portfolio A and 50% Portfolio B? Hint: The beta of a portfolio is a weighted average of the betas invested in.
Portfolio A: Average return: 18.9% Standard Deviation: 21.6% Beta: 1.92 Portfolio B: Average return: 13.2% Standard Deviation: 12.8% Beta: 1.27 Risk free: 3.1 Market: 9.9 O.47% O 2.07% O -1.25% O 1.08% O 01.46%
