The SK Fund is a passive strategy and is correctly priced with the twofactor model. What is the expected return of the LRHR mimicking portfolio? (c) Curiously, Jim Cramer got interested in my research and created the Cramer (well diversied) Fund. This fund follows an active strategy. The Cramer Fund has the following expected returns and sensitivities to the market and LRHR factors: Ex . ected Return Beta on the Market Beta on LRHR He claims that the riskadjusted performance of the Cramer Fund is higher than the risk adjusted performance of the SK Fund. Is he light? What is the "correct" expected return on a portfolio with the same betas as the Cramer Fund? (CD You want to make some riskfree profits trading in the LRHR mimicking portfolio, the Market Portfolio, the Cramer Fund and the riskfree asset. Assume that the maximum dollar amount you can buy or short sell of the Cramer Fund is $10,000. Describe your arbitrage strategy (what to buy, what to sell, what amounts and profit)