Question: Evaluate the three mutual funds using Sharpe and Treynor measure. Given the risk-free rate is 5%. Financial Assets Average Return Standard Beta Deviation Fund

Evaluate the three mutual funds using Sharpe and Treynor measure. Given the

Evaluate the three mutual funds using Sharpe and Treynor measure. Given the risk-free rate is 5%. Financial Assets Average Return Standard Beta Deviation Fund A 22% 25% 1.2 Fund B 10% 8% 0.4 Fund C 17% 16% 1.0 Market Portfolio 15% 12% 1.0 (FTSE KLCI) Calculate the following measures for each fund and market portfolio: Sharpe measure a) i) ii) Treynor measure (8 marks) (8 marks) b) Rank the portfolios using the both measures and discuss the differences you find in the ranking. (9 marks)

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