单选题 The risk-free rate is 5% and the expected market return is 15%. A portfolio manager is projecting a return of 20% on a portfolio with a beta of 1.5. After adjusting for risk, this portfolio's return will:

A、

A. he equal to the market.
B、

B. outperform the market.
C、

C. underperform the market.

【正确答案】 A

【答案解析】Based on the CAPM, the portfolio should earn: E(R)=0.05+1.5×(0.15-0.05)=0.20 or 20%. On a risk-adjusted basis, this portfolio lies on the SML and is thus earning the proper risk-adjusted rate of return.