medium · FRM Part 1 Foundations of Risk Management
In a risk-adjusted performance context, a fund manager generates an annual return of 14% with a beta of 1.2. The risk-free rate is 3% and the market return is 10%.
What is the manager's Jensen's alpha?
- -1.40%
- +1.00%
- +2.60%
- +4.00%
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