Question: Consider the following historical performance data for two different portfolios, the Standard and Poors 500, and the 90-day T-bill. a. Calculate the Fama overall performance

Consider the following historical performance data for two different portfolios, the Standard and Poor€™s 500, and the 90-day T-bill.

a. Calculate the Fama overall performance measure for both funds.
b. What is the return to risk for both funds?
c. For both funds, compute the measures of
(1) Selectivity,
(2) Diversification,
(3) Net selectivity.
d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the bestperformance?

Average Rate of Return 26.40% 13.22 15.71 6.20 Investment Standard Deviation 20.67% Vehicle Fund 1 Fund 2 S&P 500 90-day T-bill Beta 1.351 0.905 R2 0.751 0.713 14.20 13.25 0.50

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