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Consider the following historical performance data for two different portfolios, the Standard & Poors 500, and the 90-day T-bill. Investment Vehicle Average Rate of Return
Consider the following historical performance data for two different portfolios, the Standard & Poors 500, and the 90-day T-bill.
Investment Vehicle | Average Rate of Return | Standard Deviation | Beta | R^2 |
Fund 1 | 26.40% | 20.67% | 1.351 | 0.751 |
Fund 2 | 13.22 | 14.20 | 0.905 | 0.713 |
S&P 500 | 15.71 | 13.25 | ||
90-day T-bill | 6.20 | 0.50 |
- Calculate the Fama overall performance measure for both funds.
- What is the return to risk for both funds?
- For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity.
- Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance?
I think I have (1) and (2) but I need some help with the (3)
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