The data of historical performance of Mutual Fund, Hedge Fund and market portfolio ASX300 (as a...

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The data of historical performance of Mutual Fund, Hedge Fund and market portfolio ASX300 (as a benchmark) are in the table below. The risk-free rate is 4%. Fund Mutual Fund Hedge Fund ASX300 Return 10.50% 14.00% 11.00% Standard deviation of returns 25% 50% 30% Beta 0.9 1.3 1 Required: a. Calculate Shape ratios for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to the Shape ratio measure? (3 marks) b. Calculate Treynor measures for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to Treynor measure? (3 marks) c. Calculate Jensen measures for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to Jensen measure? (4 marks) d. Calculate M² (M-square) measures for the Mutual Fund, Hedge Fund respectively. Which fund performance was better, according to M² measure? (4 marks) d. If you select one of the two funds as your unique portfolio to hold, which fund would you select and why? If you select one of the two funds to include in a well-diversified portfolio, which fund would you select and why? (2 marks) The data of historical performance of Mutual Fund, Hedge Fund and market portfolio ASX300 (as a benchmark) are in the table below. The risk-free rate is 4%. Fund Mutual Fund Hedge Fund ASX300 Return 10.50% 14.00% 11.00% Standard deviation of returns 25% 50% 30% Beta 0.9 1.3 1 Required: a. Calculate Shape ratios for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to the Shape ratio measure? (3 marks) b. Calculate Treynor measures for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to Treynor measure? (3 marks) c. Calculate Jensen measures for the Mutual Fund, Hedge Fund and market portfolio ASX300 respectively. Which fund performance was better, according to Jensen measure? (4 marks) d. Calculate M² (M-square) measures for the Mutual Fund, Hedge Fund respectively. Which fund performance was better, according to M² measure? (4 marks) d. If you select one of the two funds as your unique portfolio to hold, which fund would you select and why? If you select one of the two funds to include in a well-diversified portfolio, which fund would you select and why? (2 marks)