Question: You want to evaluate three mutual funds using the information ratio measure for performance evaluation. The average risk-free return during the sample period is 3%

You want to evaluate three mutual funds using the information ratio measure for performance evaluation. The average risk-free return during the sample period is 3% p.a., and the average return on the market portfolio is 12% p.a. The average return, beta and residual standard deviation for the three funds are given below.

You want to evaluate three mutual funds using the
Fund Annual Average Return Beta Residual standard deviation A 16% 0.65 5.20% B 19% 0.85 6.40% C 22% 1.10 8.60%

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