Question: the risk-free rate, average returns, standard deviations and betas for four pension funds are given below. Suppose each pension fund is part of a larger

the risk-free rate, average returns, standard deviations and betas for four pension funds are given below. Suppose each pension fund is part of a larger and well diversified portfolio. With appropriate evaluating measure, ________ has the best performance?

STOCK AVG RETURN STD DEV BETA

A 14% 20% 1.1

B 22% 15% 1.5

C 24% 40% 1.6

D 30% 20% 2

Risk fee 5%

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