18.3
a. Which fund had the highest degree of diversification over the sample peried? How is diversification measured in this statistical framework? had the highest degree of diversification over the sample period. is a a measure of diversirication. b. Rank these funds' performance according to the Sharpe, Treynor, and Jensen measures. c. Since you know that according to the CAPM the intercept of these regressions (i.e, alpha) should be rero, this coetricient can be used as a measure of the value added provided by the investment manager. Which funds have statistically outperformed and underperformed the market using a two-sided 95% confidence interval? (Note: The relevant t-statistic using 60 observations is 2,00 .) have/has statistically cutperformed the market at a 95% level of confidence. have/has statistically underperformed the market at a 95% levei of confidence. ared the following summary of the data, with the standard errors for each of the coefficients listed in parentheses. Ich fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework? had the highest degree of diversification over the sample period. is a a measure of diversification. nk these funds' performance according to the Sharpe, Treynor, and Jensen measures. ince you know that according to the CAPM the intercept onsorvegressions (i.e., alpha) should be zero, this coefficient can be used as a measure of rovided by the investment manager. Which funds have statistically outperformed and underperformed the market using a two-sided 95% confidence elevant t-statistic using 60 observations is 2.00 .) (RfundRFR)t=a+(RmilRFR)t+et the following summary of the data, with the standard errors for each of the coefficients listed in parentheses. nd had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework? had the highest degree of diversification over the sample period -figet- ], a a measure of diversification. se funds' performans U know that 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 va by the investment manager. Which funds have statistically outperformed and underperformed the market using a two-sided 95% confidence interva. t-statistic using 60 observations is 2.00 .) a. Which fund had the highest degree of diversification over the sampl had the highest degree of diversification over the sa b. Rank these funds' performance according to the Sharpe, Treynor, an c. Since you know that according to the CAPM the intercept of these reg provided by the investment manager. Which funds have statistically 0 relevant t-statisticusing 60 observations is 2.00 .) -Select- have/has statistically outperformed the market at You have been assigned the task of comparing the investment performance of five different pension fund managers, Aher gathering 60 monchs of encrss returns (i.e, rethens in excess of the monthly risk-free rate) on each fund as well as the monthly excets returns on the entire stock market, wou perform the regressions of the form: You have prepored the following summary of the data, with the standard errors for each of the coelficients inted in porentheses. had the highest degree of divershation over the cample period sa a measure of diverifation. b. Rank these funde' performance according to the Shape, Treynot, and Jenten measures. relevent f-Matsic using 60 observations is 2.00 ) You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parentheses. "Te highest degree of diversification over the sample period? How is diversification measured in this statistical framework? sd the highest degree of diversification over the sample period. is a a messure of diversification. "performance according to the Sharpe, Treynor, and Jensen measures. c. Since you know that according to the CAPM the intercept of these regressions (l.e., alpha) should be zero, this coefficient can be used as a measure o provided by the investment manager. Which funds have statistically outperformed and underperformed the market using a two-sided 95% confidence relevant t-statistic using 60 observations is 2.00 )
