During a particular year, the T bill rate was 6 , the market return was 14 , and a portfolio manager with beta of 5 realized a return of 10 a Evaluate the manager based on the portfolio alpha b Reconsider your answer to part (a) in view of the Black Jensen Scholes finding that the security market l...

a The managers alpha is 10 6 05 14 6 0 b From BlackJensen Scholes and othe ...

During a particular year, the T-bill rate was 6%, the market return was 14%, and a portfolio

Question:

During a particular year, the T-bill rate was 6%, the market return was 14%, and a manager with beta of .5 realized a return of 10%.
a. Evaluate the manager based on the alpha.
b. Reconsider your answer to part (a) in view of the Black-Jensen-Scholes finding that the security market line is too flat. Now how do you assess the manager’s performance?

Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...