Question: You are considering purchasing 3 mutual funds-A, B, or C. Over the past 5 years, the annualized returns and standard deviations were 8% and 25%

You are considering purchasing 3 mutual funds-A, B, or C. Over the past 5 years, the annualized returns and standard deviations were 8% and 25% for A, 9% and 27% for B, and 7% and 14% for C, respectively. The betas for the 3 funds are 1.05, 1.1 and 0.9, respectively. The market return was 7% and its standard deviation was 18%. The annualized risk-free rate over the period was 4%.

a. Calculate the Sharpe, Jensen and Treynor measures for the 3 stocks. Rank the stocks on each measure.

b. If you could only choose 1 mutual fund to buy as your only investment, which one would you choose and why?

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