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?

Answer rating: 100% (QA)

a Calculations Fund A Return 8 Std Dev 25 Beta 105 Sharpe Ratio 8425 02 Jensen... View the full answer