Estimate a capm regression of a total stock market

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Suppose you estimate a CAPM regression of a total stock market index fund (average return of 12% annually before expenses) using net returns of the fund (i.e., fund returns after expenses the investor has to pay). The index fund has an annual expense of 0.5% per year.

What will be the alpha of this fund in the CAPM (on an annual basis)? Report your answer in percentage points rounded to the nearest tenth of a percentage point (e.g., 1.5). Also, when writing your answer, just write the number and do NOT add a "%" behind it (e.g., just write 1.5 and NOT 1.5%).

Reference no: EM133110429

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