Suppose the Russell 2000 Index has an expected annual return of 7.8% and volatility of 9.8%. Suppose the Alpha Industrial Fund has an expected annual return of 7.1% and volatility of 7.9% and is benchmarked against the Russell 2000 Index. According to the CAPM, if the risk-free rate is 3.2% per year, what is the beta of the Alpha Industrial Fund.

1.13

0.95

0.85

1.23