Question: SD_ Beta alpha R 2 _ Fund 1 1.97 1.0 1.3 0.95 Fund 2 2.94 0.8 0.6* 0.80 Fund 3 3.82 1.2 -3.5 0.90 Fund

SD_ Beta alpha R2_

Fund 1 1.97 1.0 1.3 0.95

Fund 2 2.94 0.8 0.6* 0.80

Fund 3 3.82 1.2 -3.5 0.90

Fund 4 4.70 1.4 4.2 0.65

*Significant at the 5 percent level

a. Which of the funds' returns are best explained by the market's returns?

b. Which of these four funds had the largest market risk?

c. Which of these four funds had the largest total risk?

d. Which of these funds had the highest performance as determined by Jensen's performance measure?

e. Which of these funds was least well diversified?

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