Question: Performance analysis and utility maximisation (9 marks) An investment manager collected historical data of the market over the past 5 years and summarised the results

Performance analysis and utility maximisation (9 marks) An investment manager collected

Performance analysis and utility maximisation (9 marks) An investment manager collected historical data of the market over the past 5 years and summarised the results in the table below. He is going to make some investment decision based on the following information. (a) Compute the Sharpe ratio for Fund A and Fund B. [2] (b) Compute the CAPM beta for Fund A and Fund B, hence the Treynor ratios. [4]

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