A one-factor APT model explains returns in the economy in this question. Suppose the returns to investments in mint-ice-cream production (my favourite ice cream flavour) explain returns in this economy. The risk-free rate is constant over these 3 years at 8% per year. You observe the following annual returns:

Year	Mint ice-cream returns	Pet Rock Manufacturing
1	15%	32.8%
2	18%	43%
3	12%	22.6%

What is the alpha of Pet Rock Manufacturing? Assume that the alpha, beta and the risk-free rate are constant over these three years and that there is no firm-specific return other than alpha. Please choose the answer that is closest to the correct answer.

a. 2%

b. 0%

c. 3%

d. 1%

e. -1%