Assignment:
You want to construct a portfolio so that all of the alphas are benchmark-neutral. Stock XYZ has a volatility of 40%, an information coefficient of 0.10, an alpha of 60 basis points, and a beta of 1.63. The benchmark has an alpha of 5.7 basis points. The appropriate benchmark-neutral alpha for stock XYZ is:
a. 44.0 basis points
b. 50.7 basis points
c. 54.3 basis points
d. 56.0 basis points