Mr.ABC claims that he is good at picking underpriced stocks. Over the years, the average return on the portfolio managed by Mr.ABC has been 20% with standard deviation 15%. Over the same period, the average return on the market portfolio has been 15%, with stan- dard deviation 12%. You estimate that the correlation between Mr.ABC's portfolio and the market has been pPM = 0.2. Finally, the risk-free rate has been contant and is 2%. a. Compute the expected returns on Mr.ABC's portfolio that would be consistent with CAPM. b. Compute the CAPM alpha of Mr.ABC's portfolio.