a) The current quotation for 90-day BAB futures is 96.55. The face value of each contract is $1 million. Suppose you forecast that interest rates are expected to fall in the near future.

Required What position should you take in the futures market, and calculate your profit or loss on each contract if you close out this position at 94.12? Show all working. State any assumptions made.

b) Consider the following table involving the performance of the JLB Australian Equity Fund.

Required: Assuming a risk-free rate of 4.5% p.a. calculate the Sharpe Index, Treynor Index and Jensen