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Fund A and B have generated the same average excess return and return volatility over...

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Finance

Fund A and B have generated the same average excess return and return volatility over the past 10 years (Average excess return = 13%, standard deviation = 26%). However, Fund A had a lower CAPM beta compared to Fund B (beta(A)=1.5 vs. beta(B)=1.6). If the average excess return and standard deviation of the market portfolio are 6% and 15% respectively, which statement is correct? Group of answer choices Fund A has a lower Treynor ratio, but a higher information ratio Fund A has a lower Treynor and information ratio compared to B Fund A has a higher Treynor and information ratio compared to B Fund A has a higher Treynor ratio, but a lower information ratio

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