b) You are an analyst for a large public pension fund, and you have been assigned the task of identify which manager Y or Z has better investment skills. For manager Y, the average rate of return was 13% with standard deviation and beta of 6.5% and 11 respectively. For manager Z, the average rate of return was 10.5% with standard deviation and beta of 5% and 0.78 respectively. Given that the average return for the market portfolio is 9% with standard deviation of 4% while the return for the treasury bills is 3%. Support your answer by showing all required calculation to show the net selectivity skills. (15 marks) b) You are an analyst for a large public pension fund, and you have been assigned the task of identify which manager Y or Z has better investment skills. For manager Y, the average rate of return was 13% with standard deviation and beta of 6.5% and 11 respectively. For manager Z, the average rate of return was 10.5% with standard deviation and beta of 5% and 0.78 respectively. Given that the average return for the market portfolio is 9% with standard deviation of 4% while the return for the treasury bills is 3%. Support your answer by showing all required calculation to show the net selectivity skills. (15 marks)