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Suppose that you are given the following information regarding two actively managed equity funds: The market risk premium is 9%. Which of the following statements

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Suppose that you are given the following information regarding two actively managed equity funds: The market risk premium is 9%. Which of the following statements is correct? A. Fund B's expected return-beta combination lies on the security market line. B. Fund A has higher systematic risk compared to Fund B based on the market model. C. Fund A is underpriced based on CAPM. D. An equally weighted portfolio of Fund A and Fund B would have the same level of systematic risk as Treasury bills. Suppose that you are given the following information regarding two actively managed equity funds: The market risk premium is 9%. Which of the following statements is correct? A. Fund B's expected return-beta combination lies on the security market line. B. Fund A has higher systematic risk compared to Fund B based on the market model. C. Fund A is underpriced based on CAPM. D. An equally weighted portfolio of Fund A and Fund B would have the same level of systematic risk as Treasury bills

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