Suppose that you are given the following information regarding two actively managed equity funds: Sharpe Ratio Return Volatility CAPM beta Fund A 0.54 22% 1.9 Fund B 0.24 14% 0.1 The market risk premium is 9%. Which of the following statements is correct? A. Fund A is underpriced based on CAPM. B. Fund A has lower systematic risk compared to Fund B based on the market model. C. An equally weighted portfolio of Fund A and Fund B would have the same level of systematic risk as the market portfolio. D. Fund Bs expected return-beta combination lies on the security market line