Question: Consider the following historical performance data for two different portfolios, the Standard & Poors 500, and the 90-day T-bill. Investment Vehicle Average Rate of Return

Consider the following historical performance data for two different portfolios, the Standard & Poors 500, and the 90-day T-bill.

Investment Vehicle Average Rate of Return Standard Deviation Beta R^2
Fund 1 26.40% 20.67% 1.351 0.751
Fund 2 13.22 14.20 0.905 0.713
S&P 500 15.71 13.25
90-day T-bill 6.20 0.50
  1. Calculate the Fama overall performance measure for both funds.
  2. What is the return to risk for both funds?
  3. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity.
  4. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance?

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