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Evaluate the three mutual funds using Sharpe and Treynor measure. Given the risk-free rate is 5%. Financial Assets Average Return Standard Beta Deviation Fund A
Evaluate the three mutual funds using Sharpe and Treynor measure. Given the risk-free rate is 5%. Financial Assets Average Return Standard Beta Deviation Fund A 22% 25% 1.2 Fund B 10% 8% 0.4 Fund C 17% 16% 1.0 Market Portfolio 15% 12% 1.0 (FTSE KLCI) a) Calculate the following measures for each fund and market portfolio: i) Sharpe measure (8 marks) i) Treynor measure (8 marks) b) Rank the portfolios using the both measures and discuss the differences you find in the ranking. (9 marks)
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