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% 0.8

Fund B 0.24 14% 1.2

The market risk premium is 9%. Which of the following statements is correct?

	A.	Fund A is overpriced based on CAPM.
	B.	Fund Bs expected return-beta combination lies on the security market line.
	C.	An equally weighted portfolio of Fund A and Fund B would have the same level of systematic risk as Treasury bills.
	D.	Fund A has higher idiosyncratic variance compared to Fund B based on the market model.