Question: 2. Given below are the benchmark index return and risk, and the performance of two funds, A & B, over last 12 months. Correlation and

2. Given below are the benchmark index return and risk, and

2. Given below are the benchmark index return and risk, and the performance of two funds, A & B, over last 12 months. Correlation and beta of the funds with benchmark are also given. Assume risk-free rate at 3%. 0 B Benchmark index Fund A Fund B 8% 30% 20% 4% 11% 8% 0.50 0.75 1.38 0.94 a. What are the Sharpe ratio, Treynor ratio and Jensen's alpha for Fund A and Fund B, respectively? [12 marks] b. Explain the differences and applications of the three performance metrics. Based on results in a, what can you conclude about the performance of Fund A and Fund B? [12 marks]

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