Question: Here are some data on four mutual funds (A,B,C,D), market index (M), and risk-free asset fund (F): Average return(%) 14 Standard Deviation(%) Fund A

Here are some data on four mutual funds (A,B,C,D), market index (M), and risk-free asset fund (F): Average return(%) 14 Standard Deviation(%) Fund A B 12 C 10 D 20 Market Risk-free 16 3 Betal 6 1.5 4 0.5 6 0.5 10 2.0 8 1.0 0 0.0 (a) Calculate the Sharpe measure for each mutual fund and rank them. (b) How much would the return on fund A have to change to reverse the ranking relative to B? (c) Calculate the Treynor measure for each mutual fund and rank them. (d) Calculate the Jensen's a for each mutual fund and rank them. (e) If you are only buying one fund, which measure should you use? Now if you are buying two funds, which measure should you use?

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