You are assigned to evaluate the performance of the CDF stock. You collect the past data on the risk-free assets, the stock, and the market index. You use the excess returns of the stock and the market index to run the regression. The regression yields an intercept, equal to -.02 and a beta equal to 1.2. The standard error of the alpha is .09. The average returns for the risk-free asset, the stock, and the market index are .05, .15, and .10 respectively. The standard deviations (based on excess returns) for the stock and the market index are .20 and .30 respectively. What should your conclusion be on the stock’s performance based on Jensen measure?
a. CDF stock underperformed the market portfolio.
b. CDF stock outperformed the market portfolio.
c. CDF stock did not either outperform or under-perform the market portfolio. That is , the stock had normal performance.