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1. You are thinking about investing in one of the following mutual funds, MassMutual and Vanguard. You have obtained the following information based on their

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1. You are thinking about investing in one of the following mutual funds, MassMutual and Vanguard. You have obtained the following information based on their performance over the last five years. Of course, you can always have the alternative option of investing in S&P 500 index instead of any of the mutual funds. The T-bill rate is averaged 5% in last 5 years MassMutuVanguardS&P5 25% 30% Average Return Beta Standard Deviation 15% 28% 18% 13% 1) Calculate the following performance measure for both MassMutual and Vanguard: Sharpe measure, Jensen measure, and Treynor measure. By each of the three measures, did MassMutual or Vanguard outperform the market index? 2) Calculate the M2 measure of MassMutual and Vanguard using market index as benchmark (i.e. set standard deviation to market level). 3) Calculate the T2 measure of MassMutual and Vanguard using market index as benchmark i.e. set beta to market level). 4) Calculate the M2 measure of MassMutual using Vanguard as benchmark (i.e. set standard deviation of MassMutual to Vanguard level) 5) Calculate the T2 measure of Vanguard using MassMutual as benchmark (i e. set beta of Vanguard to MassMutual level)

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