Chapter 9 11. Questions about the CAPM: A mutual fund with a beta of .8 has an expected return of 14%. If the risk free rate is 5% and you expect the rate of return on the market portfolio to be 15%, should you invest in this fund? What is the fund's alpha? a. b. What passive portfolio comprise of a market-index portfolio and a money market account earning the risk free rate would have the same beta as the fund mentioned in part (a). Show that the difference between the expected rate of return on this portfolio and that of the fund mentioned in part (a) is cqual to the alpha calculated in part (a). passive