A portfolio manager summarizes the forecasted returns and other characteristics for two equity mutual funds. The...

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A portfolio manager summarizes the forecasted returns and other characteristics for two equity mutual funds. The forecast period is one year, the risk-free rate is 4%, and the expected market return is 10%. ß is portfolio beta, Jei is residual standard deviation, and o; is standard deviation of excess return. Fund A B Avg. Return 16% 13% ß 1.50 0.80 Jei 10% 20% Ơi 25% 30% Calculate M² (Modigliani-Modigliani measure) for the two mutual funds. Plot the diagrams for the M² and discuss the results. Assume market return volatility is 20%. A portfolio manager summarizes the forecasted returns and other characteristics for two equity mutual funds. The forecast period is one year, the risk-free rate is 4%, and the expected market return is 10%. ß is portfolio beta, Jei is residual standard deviation, and o; is standard deviation of excess return. Fund A B Avg. Return 16% 13% ß 1.50 0.80 Jei 10% 20% Ơi 25% 30% Calculate M² (Modigliani-Modigliani measure) for the two mutual funds. Plot the diagrams for the M² and discuss the results. Assume market return volatility is 20%.