The table below gives performance statistics for two mutual funds, the blue and the red fund. It also shows the market return and the risk free rate.

	Blue	Red	Market	Risk free
Expected return	8%	2%	5%	1%
Standard deviation	40%	60%	11%	0%
beta	1.3	0.55	1	0

Which fund over-performed the best relative to the CAPM?

a. Red because it has the lowest beta.

b. Red because it has the highest alpha

c. Blue because it has the highest expected return.

d. Blue because it has the highest alpha