b) The following information on the performance of three funds A, B and C in Australia....
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b) The following information on the performance of three funds A, B and C in Australia. Average return Standard deviation Fund (%) (%) Beta Market ?? Risk-free rate ? Fund A 19.50 10.75 0.873 Fund B 28.65 14.82 1.251 Fund C 25.70 12.33 1.005 (i) (ii) Use the data provided on Canvas to calculate the annual return of the market (ASX/S&P200). Find a proxy for the risk free rate in Australia and explain your reasoning. [2 marks] Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results. [6 marks]. b) The following information on the performance of three funds A, B and C in Australia. Average return Standard deviation Fund (%) (%) Beta Market ?? Risk-free rate ? Fund A 19.50 10.75 0.873 Fund B 28.65 14.82 1.251 Fund C 25.70 12.33 1.005 (i) (ii) Use the data provided on Canvas to calculate the annual return of the market (ASX/S&P200). Find a proxy for the risk free rate in Australia and explain your reasoning. [2 marks] Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results. [6 marks].
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