Question
Mutual funds identified below are considered for investment. During the period, the average T-bill rate was 2.8% and market risk premium was 9.5% and standard
Mutual funds identified below are considered for investment. During the period, the average T-bill rate was 2.8% and market risk premium was 9.5% and standard deviation of market return was 4.5%.
| Fund | Mean Return | Beta | Standard Deviation |
| Sigma | 21% | 1.0 | .06 |
| Omega | 19% | 1.3 | .10 |
| Theta | 17% | 0.7 | .03 |
| Tilde | 12% | 1.2 | .07 |
- Rank the funds using the Sharpe measure. Which fund(s) is (are) superior performer?
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Focus On Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes
3rd Edition
0073382426, 9780073382425
