Dumb beta strategy and sharpe ratiotwo mutual funds fund a, Ask an Expert

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Dumb Beta Strategy and Sharpe ratio

Two mutual funds, fund A has a beta of 1.5, fund B has a beta of 0.5, unchanged regardless of market condition. Assuming expected returns follow the CAPM model.

(1) Does fund A always have higher return than fund B?

(2) Which fund has higher Sharpe Ratio?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92296170

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