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