The following table provides data on three funds and the S&P 500, which represents a proxy for the market portfolio of risky assets. Fund Avg 18% B 25% 20% S&P 500 15% 5% Std Dev 30% 35% 25 20% Beta 1.05 1.3 1.2 1.0 Here, in the headings of the rows and columns of the table, r; denotes the risk-less rate of return, Avg denotes mean returns, "Std Dev" denotes the standard deviation of returns and Beta denotes the CAPM beta coefficient. (a) Calculate the performance of the three funds using Jensen's alpha, the Treynor ratio and the Sharpe ratio. (b) How would you rank these funds if each were a large and internally undiversified portion of the investor's portfolio? Explain! (c) How would you rank these funds if each were a large but internally diversified component of a well-diversified portfolio? Explain. (d) Suppose now you ranked the three funds using the Modigliani and Modigliani (M) measure of investment performance. Would the ranking of the funds change relative to the answers in (b) and (c)? Explain. (e) What additional piece of information would you need to calculate the information ratio and how and when (i.e., in which circumstances) its use would be appropriate to rank the funds? Explain