Note: The selection options for "d" are: "return/risk," "reduced by the cost of incomplete/ increased by the benefit from perfect," "better/ worse" and "fund 1/ fund 2" respectively.

Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Vehicle Fund 1 Average Rate of Return 27.20 % 12.90 16.29 5.60 Standard Deviation 20.30 % 14.90 12.90 0.60 Beta 1.357 0.912 R2 0.769 0.738 Fund 2 S&P 500 90-day T-bill a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): % Overall performance (Fund 2): b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): Return to risk (Fund 2): c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Selectivity Diversification Net selectivity Fund 1 Fund 2 d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? The net selectivity is an unexplained portion of the excess -Select- -Select- diversification. The higher the net selectivity the -Select- -Select- had the best performance. investor performance is. Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Vehicle Fund 1 Average Rate of Return 27.20 % 12.90 16.29 5.60 Standard Deviation 20.30 % 14.90 12.90 0.60 Beta 1.357 0.912 R2 0.769 0.738 Fund 2 S&P 500 90-day T-bill a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): % Overall performance (Fund 2): b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): Return to risk (Fund 2): c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Selectivity Diversification Net selectivity Fund 1 Fund 2 d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? The net selectivity is an unexplained portion of the excess -Select- -Select- diversification. The higher the net selectivity the -Select- -Select- had the best performance. investor performance is