The Market Is Expected to Generate a 12% Return and the Risk

Multiple Choice

The market is expected to generate a 12% return and the risk free rate is 4%. A portfolio manager has 70% of her capital allocated to stock A with a beta of 0.8, which generated a total return of 11%. 30% of her capital is allocated to stock B with a beta of 1.1, which generated a total return of 12%. What Alpha was generated by the manager by allocating more capital to stock A?

A) 0.11%
B) 0.18%
C) 0.25%
D) 0.38%