Use the Information for the Question(s)below

Multiple Choice

Use the information for the question(s) below.
Suppose that the risk-free rate is 5% and the market portfolio has an expected return of 13% with a volatility of 18%.Monsters Inc.has a 24% volatility and a correlation with the market of .60,while California Gold Mining has a 32% volatility and a correlation with the market of -.7.Assume the CAPM assumptions hold.
-Suppose that Monsters' expected return is 12%.Then Monsters' alpha is closest to:

A) -2.0%.
B) -1.0%.
C) 1.0%.
D) 0.5%.