18.4

Consider the foliowing historical performance data for two different porffolios, the Standard and Poar's s00, and the 90-day T-bal. a. Calculate the Fama overall performance measure for both funds, Mound vou answers to two decimal places: Overalt performance (Fund 1 ): % Overall performance (Fund 2 ): \% 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 2 ): W Return to risk (Fund 2): 4 c. For both funds, compute the measures of (1) selectivity, (2) diversincation, and (3) ret selectivity. Do not round intermediate caiculations: Round your answers to tro decimat places, Use a minus sign to enter negative valies, it any. F h d. Explain the meaning of the net selectivity measure and how it helps rou evaluate investor performance, Which fund had the best performance? The net selectivity is an unexplained portion of the excess diversication. The higher the net seiectivity the invester performance is: had the best performance. for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. measure for both funds. Round your answers to two decimal places. % % ? Do not round intermediate calculations. Round your answers to two decimal places. % % f (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calcula er negative values, if any