b) Pete is considering two mutual funds, namely Mutual Fund A and Mutual Fund B. The table below illustrates the performance of monthly returns (in decimals) of these two mutual funds and the benchmark portfolio (KGF). You believe the market is efficient and impossible to gain abnormal returns consistently. [16 marks] (i) Identify which mutual fund should be invested based on the annualized tracking error. (ii) Advise on which fund has over/underperform the benchmark portfolio. Date Jan 2020 Feb 2020 Mutual Fund B 5.8 Mutual Fund A 0.5 1.4 0.2 0.5 KGF 4.1 -0.3 -2.5 -1.6 2.4 -1.8 0.6 1 Mar 2020 Apr 2020 May 2020 Jun 2020 Jul 2020 1.3 1.1 0.4 0.2 0.8 -1.7 -2.2 -1.9 Aug 2020 Sep 2020 Oct 2020 0.5 -0.3 -0.6 1.2 -0.1 -0.7 -1.8 2.8 -0.5