Suppose that you are given the following information regarding two actively managed equity funds:

Sharpe Ratio Return Volatility CAPM beta

Fund A $0\mathrm{.}5422\%0\mathrm{.}8$

Fund B $0\mathrm{.}2414\%1\mathrm{.}2$

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 is overpriced based on CAPM.

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.