The expected return of the market portfolio is 7% and the risk-free rate is 3%. Hedge fund A has an expected return of 10%, a beta of 2, and a standard deviation of 30%. Hedge fund B has an expected return of 7%, a beta of 0.75, and a standard deviation of 20%. Which fund has the best performance using the CAPM as a benchmark and why? (Hint: do not assume that the CAPM is true; use it as a benchmark to evaluate each funds performance.) (a) Fund A because it has a higher expected return (b) Fund A because it has a higher Sharpe ratio (c) Fund B because it has a higher alpha (d) Fund B because it has a lower beta and a lower standard deviation