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Marie & Alice are portfolio managers and want to determine who performs the best. Currently the risk free is 3% and the expected return on

Marie & Alice are portfolio managers and want to determine who performs the best. Currently the risk free is 3% and the expected return on the market is 9%. Marie managers a portfolio that has a return on average of 13% and has a beta of 1.2, whereas Alices portfolio has returns of 12% but her portfolio has a beta of 0.9. Which one is the better manager?

E(ri) = Rf + i [E(Rm) Rf]

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