Question: There are two actively managed mutual funds P and Q with information of their historical returns given below. Their benchmark is the market portfolio whose

There are two actively managed mutual funds P and Q with

There are two actively managed mutual funds P and Q with information of their historical returns given below. Their benchmark is the market portfolio whose information also given in the table. Risk-free rate r = 2%. Fund P Fundo Market Portfolio 10% Average return 12% 8% 8% 10% Average excess return 6% Standard deviation 16% 25% M-square 4% Beta 2. 0.5 A. Calculate M-square of fund Q. (8 pts)

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