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A large pension fund wants to evaluate the performance of four portfolio managers for the last 5 years. During this time period the average annual
A large pension fund wants to evaluate the performance of four portfolio managers for the last 5 years. During this time period the average annual return of the S&P500 was 14% with standard deviation 12%. The average annual risk free interest rate was 8%. The four portfolios gave the following data: Portfolio A B D Average annual return (%) 16 22 10 15 o to Standard deviation (%) 19 16 10 13 Beta 1.2 1.9 0.8 1.3 For funds A and B, how much the return on B has to change to reverse the ranking using the Sharpe measure
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