Ninety 1 fund	Coronation fund
Intercept of SCL	1%	2.5%
Slope of SCL	0.8	1.2
Standard Deviation	16%	20%
Jse ALSI risk premium	7%
Standard Deviation of Jse ALSI	15%
Risk free rate	4%

Your boss requires you to conduct an analysis of both the Ninety-One and Coronation Equity Funds, in order to determine which provides the better risk adjusted returns overall. You begin your analysis by regressing the historical excess returns of each unit trust against the historical excess return of the market. The results of the security characteristic line (SCL) for each unit trust, as well as other important values, is shown in the table below.

5.1. Which fund has performed better according to the Jensen's alpha measure?

(2)

5.2. Calculate the return of each fund.

(5)

5.3. Evaluate the performance of each portfolio, against each other as well as against the market portfolio, using the Sharpe and Treynor measures. Which portfolio would you choose to invest in? Provide a reason for your answer.

If you are unsure of your answer in 5.2., use a return of 11% for the Ninety-One Equity fund and 15% for the Coronation Equity Fund.

(13)

5.4. If your boss requires you to conduct an analysis of the Ninety-One and Coronation

BOND funds, how would your approach be similar or different to the one conducted in

5.3?

(2)