Given the following diversified mutual fund performance data, which fund had the best risk-adjusted performance if the risk-free rate of return is 5.7%?

• Fund A: Average rate of return = 7.82%, Standard deviation of annual return 7.60% and Beta = 0.950

• Fund B: Average annual return = 12.87%, Standard deviation of annual return =

15.75% and Beta = 1.250

• Fund C: Average annual return = 10.34%, Standard deviation of annual return =

18.74% and Beta = 0.857

• Fund D? Average annual return = 7.50%, Standard deviation of annual return =

8.10% and Beta = 0.300

a. Fund B, because the annual return is highest.

b. Fund C, because the Sharpe ratio is lowest.

c. Fund D, because the Treynor ratio is highest.

d. Fund A, because the Treynor ratio is lowest.