Month 1 Month 2 Return for BW 0.5% 0.4% Riskfree return 0.1% 0.25% Total market return 0.29% 0.39% Table 3: Data for GE Hedge Fund (a) Calculate annualized arithmetic and geometric average returns for GE. From the perspective of an investor in a hedge fund, discuss when each type of average return calculation is appropriate. (b) Suppose the annualized standard deviation of GE's excess returns is 3.15%. Calcu late and interpret the annualized Sharpe Ratio (use arithmetic average) for GE (c) On regressing GE's monthly excess returns on the current market portfolio, you nd REE Rf = 0.7% + 0.5%\" Rf) + at, with 0(5) = 1.74%. Suppose the maximal leverage GE can obtain is 10to1. What is the monthly alphatomargin ratio? Interpret this ratio. (d) You nd out that GE's accounts do not necessarily reect current prices of assets. Discuss how you will adjust the alphatomargin ratio in response to stale prices