eBook Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Investment Average Rate of Standard Vehicle Return Deviation Beta R Fund 1 27.20% 20.29% 1.445 0.750 Fund 2 13.86 13.90 0.866 0.708 S&P 500 15.53 12.80 90-day T-bill 6.30 0.40 a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places Overall performance (Fund 1); Overall performance (rund 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 1): Return to risk (Fund 2): c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to t decimal places. Use a minus sign to enter negative values, if any. Selectivity Diversification Net selectivity 9 Fund 1 9 Fund 2 d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? diversification. The higher the net selectivity the The net selectivity is an unexplained portion of the excess Select Select investor performance is. Select had the best performance