The average returns, standard deviations and betas for three funds are given below along with data...

 

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The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. Fund Avg. Return Std. Dev. Beta A 13.6% 40% 1.1 B 13.1% 25% 1.0 C 12.4% 30% 1.3 S&P 500 12.0% 15% 1.0 a. Compute and rank order the funds based on Sharpe, Treynor and Jensen performance measures. b. Which funds outperform the market based on each performance measure? c. Which fund(s) would you invest in if you are adding to a well-diversified portfolio? (Hint: Which performance measure(s) are relevant here?) d. Which fund(s) would you invest in if you are adding to an undiversified portfolio? (Hint: Which performance measure(s) are relevant here?) The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk free return during the sample period is 6%. Fund Avg. Return Std. Dev. Beta A 13.6% 40% 1.1 B 13.1% 25% 1.0 C 12.4% 30% 1.3 S&P 500 12.0% 15% 1.0 a. Compute and rank order the funds based on Sharpe, Treynor and Jensen performance measures. b. Which funds outperform the market based on each performance measure? c. Which fund(s) would you invest in if you are adding to a well-diversified portfolio? (Hint: Which performance measure(s) are relevant here?) d. Which fund(s) would you invest in if you are adding to an undiversified portfolio? (Hint: Which performance measure(s) are relevant here?)