Question: Two portfolio managers are comparing performance. Manager A averaged a 20% return with a portfolio beta of 2.5, and manager B averaged a 15% return

Two portfolio managers are comparing performance. Manager A averaged a 20% return with a portfolio beta of 2.5, and manager B averaged a 15% return with a portfolio beta of 1.2. If the T-bill rate was 4% and the market return during the period was 10%, which manager was the better performer?

Multiple Choice

Manager A was better since she generated a larger alpha

Manager B was better since she generated a larger alpha

Manager A was better since she generated a larger return

Manager B was better since she generated above market returns with a low beta

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