Question C3 The following information relates to the risk free asset, the stock market index and two investment funds, Trojan Plc and Orbis Plc. Expected annual Return Standard deviation of Return Covariance of Return with Market Trojan Plc 12% 20% 0.04 Orbis Plc 10% 17% 0.02 7% 15% Market Index Risk-free asset 2% The correlation coefficient between Trojan Plc and Orbis Plc is 0.70. Answer the following: (a) Calculate the betas (B) of Trojan Plc, Orbis Plc, and the market index. (6 marks) (b) Suppose that you construct a portfolio with an equal weight on each of the funds, Trojan Plc and Orbis Plc. i. Calculate Sharpe's measure of fund performance for Trojan Plc, Orbis Plc, and the market index. (6 marks) ii. Calculate Treynor's measure of fund performance for Trojan Plc, Orbis Plc, and the market index. (6 marks) (c) Which fund would you invest in and why? (7 marks)