Question: Using the data in the table below and calculate the following performance measures. i. Sharpe ratio ii. Treynor measure iii. Jensen'salpha iv. M-squared measure v.

Using the data in the table below and calculate the following performance measures.

i. Sharpe ratio

ii. Treynor measure

iii. Jensen'salpha

iv. M-squared measure

v. T-squared measure, and

vi. Appraisal ratio (information ratio)

Fund

Average

Standard

Beta

Unsystematic

Return

Deviation

Coefficient

Risk

0.3646

0.4432

1.1880

0.0436

0.3268

0.3340

1.0560

0.0688

0.4402

0.4276

1.9800

0.0940

0.3898

0.4900

1.7160

0.0400

0.3016

0.3808

1.0560

0.0604

0.5032

0.4744

2.3760

0.0772

0.3772

0.3964

1.2540

0.0604

Market

0.3520

0.3652

1.0000

0.0000

Risk-free return

0.0500

0.0000

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