There are two actively managed mutual funds P and Q with information of their historical returns given below. Their benchmark is the market portfolio whose information is also given in the table. Risk-free rate .

Fund P

Fund Q

Market Portfolio

Average return

15%

10%

12%

Average excess return

11%

6%

8%

Standard deviation

25%

16%

20%

BetaThere are two actively managed mutual funds P and Q with information of their historical returns given below. Their benchmark is the market portfolio whose information is also given in the table. Risk-free rate .

	Fund P	Fund Q	Market Portfolio
Average return	15%	10%	12%
Average excess return	11%	6%	8%
Standard deviation	25%	16%	20%
Beta	2	0.8	1

A. Calculate the Sharpe Ratio of fund P, Q, and the market portfolio.

B. Calculate the M-square of fund P and Q. (show the results in %)

C. Calculate the Treynor measure of fund P and Q. (show the results in %)

2

0.8

1

A. Calculate the Sharpe Ratio of fund P, Q, and the market portfolio.

B. Calculate the M-square of fund P and Q. (show the results in %)

C. Calculate the Treynor measure of fund P and Q. (show the results in %)

Rf=4% Rf=4%