QUESTION 13 Suppose we have two stocks A and B. Stock A has an expected return of 10%, a standard deviation of return of 20% and a beta of 1.5. Stock B has an expected return of 8.4%, a standard deviation of 30% and a beta of 1.1. Which stock has a higher systematic risk? Which stock has a higher total risk? O A. A has a higer systematic risk. A has a higher total risk B. B has a higher systematic risk. A has a higher total risk O C.B has a higher systematic risk, B has a higher total risk OD. A has a higher systematic risk, B has a higher total risk QUESTION 14 1.60 + Consider the following model to explain a fund manager's performance: ipt = dp+bp imt + SpSMB+ hpHMI.pt If the fund manager is market neutral but is tilted towards large stocks, which of the following would apply? . > and Sp > 0 O B. bp 0 O D.bpO and Sp