Richard Roll, in an article on using the capital asset pricing model $($CAPM$)$ to evaluate

portfolio performance, indicated that it may not be possible to evaluate portfolio

management ability if there is an error in the benchmark used.

a$.$ Describe the general procedure of using the CAPM to evaluate portfolio performance,

with emphasis on the benchmark employed.

b$.$ Explain what Roll meant by the benchmark error and identify the specific problem

with this benchmark.

c$.$ Assume that a hedge fund manager has been evaluated as superior when conducting a

security market line $($SML$)$ performance analysis using the Dow Jones Industrial

Average as her market proxy. The superior performance remains when compared to

the S&P $500$ and NYSE Composite Index. Explain whether this consensus would

make you feel more comfortable regarding the portfolio manager$$s true ability. Please include Equations and Explanations. Many thanks!