4.Suppose you evaluating an investment manager.Manager A has achieved a historical return of 20% per year with a beta (with respect to a benchmark) of 1.4, and volatility of 40%.Manager B has achieved a historical return of 15% per year, beta of 1.0 and volatility of 20% per year.

The benchmark return has been 16% per year, and the risk-free rate is 6%.Volatility of the benchmark is 20% per year.

a)According to Sharpe Ratio, which manager has produced superior returns?

A)Manager A

B)Manager B

C)No idea

b)According to a, which manager has produced superior returns?

A)Manager A

B)Manager B

C)No idea

c)Draw the total risk (standard deviation) - reward (expected return) trade-off.Be sure to mark/draw the risk-free rate, the market portfolio, the mean-variance frontier, manager A and manager B.