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Suppose the S&P 500 Index has an expected annual return of 7.2% and volatility of 8.2%. Suppose the Andromeda Fund has an expected annual return of 6.8% and volatility of 7.0% and is benchmarked against the S&P 500 Index. According to the CAPM, if the risk-free rate is 2.2% per year, what is the beta of the Andromeda Fund?
A
0.92
B
0.95
C
1.13
D
1.23