The expected return of the market portfolio is 8% and the risk-free rate is 2%. Hedge fund A has an expected return of 10%, a beta of 1.5, and a standard deviation of 20%. Hedge fund B has an expected return of 7%, a beta of 0.75, and a standard deviation of 15%. Which fund has the best performance using the CAPM as a benchmark and why? 

Answer rating: 100% (QA)

To determine which hedge fund has the best performance using the Capital Asset Pricing Model CAPM as ... View the full answer