help

Chapter 18: Assignment - Evaluation of Portfolio Performance a Search this cou 4. Problem 18-04 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-bal. Investment Average rate of Standard Vehicle Return Deviation Beta R Fund 1 25.40% 22.05% 1.332 0.720 Fund 2 12.78 13.40 0.870 0.70B S&P 500 15.49 13.95 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 Overal performance (Fund 1): Overall performance (Fund 2): b. What the return to risk for both funds? Do not round intermediate calculations, Round your answers to two decimal places Return to risk (rund 1): Retum tok (und 2) for both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not found intermediate calculation Round your answers to two decimal places. Use a minus sign to enter negative values any Selectivity Diversification Net selectivity Fund 1 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? v diversification. The her the net selectivity the St. The net selectivity is an unexplained portion of the excess o Investor performance is. Elect had the best performance MacBook Pro