Performance Analysis [21 marks] Consider the following Table of information summarising the average performance of three mutual funds (Fund A, Fund B and Fund C) over the past 5 years. Average Standard Deviation Correlation Return of Returns with Market Fund A 20% 27% 0.7 Fund B 16% 22% 0.1 Fund C 30% 26% 0.4 Market Index 14% 21% 1 Risk-free rate 1% 0% 0 (a) Please describe the advantages and disadvantages of using the Sharpe ratio, Treynor ratio and Jensen's alpha when assessing fund performance. [6] (b) Compute the Sharpe ratio and the Treynor ratio for Fund A, Fund B, Fund C, and the Market Index. [8] (C) Compute the non-systematic risk in terms of standard deviation for Fund A, Fund B and Fund C. [3] (d) Rank the performance of the three funds based on the Sharpe ratio and the Treynor ratio. Are the two performance rankings consistent? If not explain the most likely reason for this difference. [4]