10) You have been assigned the task of comparing the investment performance of five different superannuation fund managers After gatehering 60 months of excess returns (i e returns in excess of the monthly risk free rate) on each fund as well as the monthly excess returns on their stock market, you perform the regressions of the form (R fund RFR) t (R mkt RFR) t e t You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parantheses Regression Data R FUND RFR Portfolio R 2 Mean ABC 0 192 (O 11) 1 048 (0 10) 94 1 1 022 1 193 DEF 0 053 (0 19) 0 622 (0 09) 91 6 0 473 0 764 GHI 0 463 (0 19) 0 594 (0 07) 68 6 0 935 0 793 JKL 0 355 (0 22) 0 757 (0 08) 64 1 0 955 1 044 MNO 0 296 (0 14) 0 785 (0 12) 94 8 0 890 0 890 Which fund had the highest degree of diversification over the sample period How is diversification measured in this statistical framework Rank these funds performance according to the Sharpe, Treynor, and Jensen measures Since you know according to the CAPM the intercept of these regressions (i e , alpha) should be zero, this coefficient can be used as a measure of the value added provided by investment manager Which funds have statistically outperformed and underperformed the market using a two sided 95 percent confidence interval

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10) You have been assigned the task of comparing the investment performance of five different superannuation fund managers. After gatehering 60 months of excess returns

10) You have been assigned the task of comparing the investment performance of five different superannuation fund managers. After gatehering 60 months of excess returns (i.e. returns in excess of the monthly risk-free rate) on each fund as well as the monthly excess returns on their stock market, you perform the regressions of the form:

(R_fund-RFR)_t=+(R_mkt-RFR)_t+e_t

You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parantheses.

	Regression Data	R_FUND-RFR
Portfolio			R²	Mean
ABC	0.192 (O.11)	1.048 (0.10)	94.1%	1.022%	1.193%
DEF	-0.053 (0.19)	0.622 (0.09)	91.6	0.473	0.764
GHI	0.463 (0.19)	0.594 (0.07)	68.6	0.935	0.793
JKL	0.355 (0.22)	0.757 (0.08)	64.1	0.955	1.044
MNO	0.296 (0.14)	0.785 (0.12)	94.8	0.890	0.890

Which fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework?Rank these funds performance according to the Sharpe, Treynor, and Jensen measures.Since you know according to the CAPM the intercept of these regressions (i.e., alpha) should be zero, this coefficient can be used as a measure of the value added provided by investment manager. Which funds have statistically outperformed and underperformed the market using a two sided 95 percent confidence interval?