CoursHeroTranscribedText /evo/index.html?elSBN 9781337684316&id=674612259&snapshotld=1523355& CENGAGE MINDTAP < Homework 6 Problem 18-04 Consider the following historical performance data for

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/evo/index.html?elSBN 9781337684316&id=674612259&snapshotld=1523355& CENGAGE MINDTAP < Homework 6 Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Vehicle Fund 1 Fund 2 S&P 500 90-day T-bill Average Rate of Standard Return 27.60% 14.06 15.48 Deviation 19.47% 15.10 13.85 Beta R 1.371 0.726 0.899 0.684 5.40 0.40 a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): Overall performance (Fund 2): % % K Q Search this course b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): Return to risk (Fund 2): % % c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Fund 1 Fund 2 Selectivity % % Diversification Net selectivity % % % % d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? diversification. The higher the net -Select- -Select- The net selectivity is an unexplained portion of the excess selectivity the -Select- investor performance is. -Select- had the best performance. /evo/index.html?elSBN 9781337684316&id=674612259&snapshotld=1523355& CENGAGE MINDTAP < Homework 6 Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Vehicle Fund 1 Fund 2 S&P 500 90-day T-bill Average Rate of Standard Return 27.60% 14.06 15.48 Deviation 19.47% 15.10 13.85 Beta R 1.371 0.726 0.899 0.684 5.40 0.40 a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): Overall performance (Fund 2): % % K Q Search this course b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): Return to risk (Fund 2): % % c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Fund 1 Fund 2 Selectivity % % Diversification Net selectivity % % % % d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? diversification. The higher the net -Select- -Select- The net selectivity is an unexplained portion of the excess selectivity the -Select- investor performance is. -Select- had the best performance.