Some information is provided below about five different investment funds, each investing in a different portfolio of assets. The funds are based in the United States (US) and some additional information about the market is also provided. For this question, assume that the normal CAPM holds: r = rf + Beta x MRP. Market Information: . . Market risk premium: 5% Risk-free rate: 1.50% Information on investment funds: Zeta Fund lota Fund Pi Fund Mu Fund Gamma Fund 100% short- Fund profile term US government 100% diversified US shares 100% diversified US 80% diversified shares, 20% US 100% US electricity and shares diversified US utility company bonds shares real estate Market value of $310 million. $1.3 billion $890 million $620 million $105 million portfolio Beta ? 1.20 1.35 ? 0.55 Expected annual return according to ? 7.50% 8.25% 6.00% 4.25% the CAPM Actual average annual return over 2.10% 7.80% 8.10% 9.80% 12.00% the last 5 years (a) According to the CAPM, the expected return on the Zeta fund is %. Note: Please provide your answer with two decimal points in the format of xx.xx (for example, if the answer is 12.345%, type in 12.34). (b) The CAPM beta of the Mu fund is: 0 Note: Please provide your answer with two decimal points in the format of xx.xx (for example, if the answer is 1.234, type in 1.23). (c) Which fund would you expect to have the largest percentage decrease in value as a result of an economic recession in the US?