Question: You are evaluating the performance of two portfolio managers based on the following information: Portfolio Actual Avg. Return Std. Deviation Beta A 10.20% 12.00% 1.20

  1. You are evaluating the performance of two portfolio managers based on the following information:

Portfolio Actual Avg. Return Std. Deviation Beta

A 10.20% 12.00% 1.20

B 8.80% 9.90% 0.80

a. Calculate the expected return for each manager using the CAPM (the risk-free rate is 5% and the return on the market is 9.5%).

b. What is the alpha for each manager?

c. Which manager performed better on a risk-adjusted basis?

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