22

You want to evaluate three mutual funds using the information ratio measure for performance evaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 19%. The average returns, residual standard deviations, and betas for the three funds are given below. Average Return Residual Standard Deviation Beta Fund A 20 4.00. 0.8 Fund B 21 1.250 Fund C 23 1.20% 1.2 The fund with the highest information ratio measure is 1.0 Select one: O a. Funds A and B (tied for highest). O b. Fund A. O c. Fund C. O d. Fund B. e. Funds A and C (tied for highest)