Use the following data to evaluate the performance of Fund K.

Fund K: beta 1.58, expected return: 32%, standard deviation: 40%

Market portfolio: expected return 18%, standard deviation 25%

The risk-free rate: is 6%

Does Fund K have an abnormal return according to the Capital Asset Pricing Model (CAPM)? Why or why not? Explain.

Answer rating: 100% (QA)

Using CAPM expected rate can be calculated as RfBetaRmRf where Rf is risk free rate Rm is ma... View the full answer