Question: 6. (12 points) There are two actively managed mutual funds P and Q with information of their historical returns given below. Their benchmark is the

6. (12 points) There are two actively managed mutual funds P

and Q with information of their historical returns given below. Their benchmark

6. (12 points) There are two actively managed mutual funds P and Q with information of their historical returns given below. Their benchmark is the market portfolio whose information is also given in the table. Risk-free rate Rf :4 Fund P Fund Q Market Portfolio Average return 15% 10% 12% Average excess return 11% 8% 8% Standard deviation 25% 16% 20% Beta 2 0.8 1 a. (3 points) Calculate the Sharpe Ratio of fund P, Q, and the market portfolio

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