Question: Consider the following raw returns for Security ), Security K, and the market: Year J's Return K's Return Market Return 1 10% 10% 6% 2

Consider the following raw returns for Security ), Security K, and the market: Year J's Return K's Return Market Return 1 10% 10% 6% 2 14% 8% 10% 3 12% 16% 14% 16% 20% 17% 5 22% 22% 16% Assume (1) the risk-free rate is 4 percent. (2) expected returns are equal to average historical returns, and (3) CAPM is the correct model for required returns. Based on this determine the Jensen's Alpha for Security K. O 2.22% 01.03% O 3.53% O 5.82% 4.64%

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