Below is the historical performance of three different funds, the Small Cap Fund, the Mid Cap Fund, and the Large Cap fund. The market return and standard deviation of return for the market portfolio are also provided in the table. The risk-free rate is 6%.

Investment fund Average rate of return Standard Deviation Beta

Small Cap fund 18% 29% 2.1

Mid Cap fund 15% 21% 1.3

Large Cap fund 11% 19% 1.1

Market 10% 14% 1

Required:

a)Calculate the Sharpe's measure for the three portfolios and the market. Compare the measures and assess the performance of each portfolio. (4 marks)

b)Calculate the Treynor's measure for the three portfolios and the market. Compare the measures and assess the performance of each portfolio. (4 marks)

c)Calculate the Jensen's measure for the three portfolios. Compare the measures and assess the performance of each portfolio.(4 marks)

d)Assume you are a young professional who seeks growth in your investments. Which portfolio would you choose? Explain the reasoning for your selection.(3 marks)