o DEF Problem 18-03 You have been assigned the task of comparing the investment performance of five different pension fund managers. After gathering 60 months of excess returns (le, retums in excess of the monthly risk-free rate) on each fund as well as the monthly excess returns on the entire stock market, you perform the regressions of the form (Rund - RFR) - 0 + Rut - RFR)e+ You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parentheses REGRESSION DATA (RUND -RFR) Portfolio RP Mean ABC 0.459 0.506 0.935% 0.789% (0.18) (0.09) 0.182 1.054 96.1 1.016 1.203 (0.11) (0.12) GHI -0.043 0.672 92.7 0.482 0.772 (0.18) (0.11) JKL 0.296 0.790 94.0 0.865 0.090 (0.13) (0.14) MNO 0.355 0.747 71.8 0.965 1.036 (0.20) (0.10) a. Which fund had the highest degree of diversification over the sample period How is diversification measured in this statistical framework? Se had the highest degree of diversification over the sample period. is a a measure of diversification b. Rank these funds' performance according to the Sharpe, Treynor, and Jensen measures Portfolio Rank (Sharpe measure) Rank (Treynor measure) Rank (Jensen measure) ABC DEF GHI JKL . MNO Wrich fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework? had the highest degree of diversification over the sample period. Sie is a a measure of diversification D. Rack these funds' performance according to the Sharpe, Treyner, and Jensen measures Portfolio Rank (Sharpe measure) Rank (Treynor measure) Rank (Jensen measure) ABC DEF GH JKL MNO we c. Since you know that according to the CAPM the intercept of these regressions (le, alpha) should be zero, this coefficient can be used as a measure of the value added provided by the investment manager Welch funds have statistically outperformed and underperformed the market using a two-sided 95% confidence interval (Note: The relevant statistic using 60 observations is is 2.00) have/has statistically outperformed the market at a 95% level of confidence ABCL ABCDEF have/has statistically underperformed the market at a 95 level of confidence ABC LMNO BREECH MO