Consider the sheet "FUND MONTHLY" and the statements below. Assume the Market Portfolio is the Russell 3000 Index. I) The beta of the fund with respect to the Market Portfolio is 0.69. So, the fund is less risky than the Market Portfolio if CAPM beta is the concept of risk. II) The monthly volatility of the Fund is higher than the monthly volatility of the Market Portfolio. So, the fund is riskier than the Market Portfolio if volatility is the concept of risk. I and II are TRUE. I is TRUE, and II is FALSE. I is FALSE, II is TRUE. I and II are FALSE.

AA monthly returns Russell 3000 Risk-free index (month close) monthly returns risk-free Fund - Rf Russell - Rf 1358.7063 -9.65% 1359.3857 0.05% -5.85% -5.85% -9.70% e) Sharpe Ratio 9.09% 1360.0654 0.05% 9.59% 9.59% 9.04% Fund Russell 3000 3.51% 1360.7454 0.05% 0.35% 0.35% 3.46% Average 0.002301 1.65% 1.04% 1361.4258 0.05% 8.66% 8.66% 0.99% St Dev 0.10388 6.04% SHARPE RATIO 4.31% 1362.1065 0.05% 2.72% 2.72% 4.26% SR month 0.02 0.27 Fund CRSP -6.41% 1362.6513 0.04% 2.46% 2.46% -6.45% SR annual 80' ).95 arith. Av. 0.0023 0.0165 6.30% 1363.1964 0.04% 1.18% 1.18% 6.26% St. Dev. 0.1039 0.0604 2.14% 1364.0143 0.06% 2.50% 2.50% 2.08% Sharpe Rati 0.02 0.27 -2.11% 1364.9691 0.07% -1.15% -1.15% -2.18% f) CAPM Alpha Sharpe Rati .08 0.95 1.38% 1365.7881 0.06% 0.21% 0.21% 1.32% 2.59% 1366.6076 0.06% 0.58% 0.58% 2.53% month -1.44% CAPM ALPHA 3.79% 1367.4275 0.06% 0.60% -0.60% 3.73% annual -17.33% CAPM alph: -1.444% 2.31% 1368.248 0.06% 300.00% 3.48% 2.25% CAPM alph -17.33% 0.36% 1368.9321 0.05% 1.16% 0.31% 8.27% 1369.4797 0.04% -3.57% -8.31% h ) Fund Market CAPM beta 1.01 -14.11% 1369.6166 0.01% 42.37% 14.12% Volatility n 10.39% 5.04% 13.63% 1369.7536 0.01% 4.47% 13.62% Beta 1.01 5.33% 1369.8906 0.01% -16.49% 5.32% The fund is less risky than the Market using 1.94% 1370.0276 0.01% 2.19% 1.93% both Volatility and Beta risk measures. 6.13% 1370.1646 0.01% 2.32% 6.12% 7.13% 1370.3016 0.01% 6.46% 7.12% 4.07% 1370.4386 0.01% -5.04% 4.08% -1.54% 1370.5757 0.01% 10.44% -1.55% g) Fund managers are not doing a good job for 11.98% 1370.7127 0.01% 13.51% 11.97% clients that put all their wealth in the fund 4.01% 1370.8498 0.01% 12.47% 4.00% because the Sharpe Ratio of the fund is below -0.09% 1370.9869 0.01% -0.88% -0.10% the Sharpe Ratio of the Market Portfolio 3.15% 1371.124 0.01% 7.70% 3.14% (Russell 3000) 3.36% 1371.2611 0.01% -10.05% 3.35%