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Performance analysis and utility maximisation (9 marks) An investment manager collected historical data of the market over the past 5 years and summarised the results

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Performance analysis and utility maximisation (9 marks) An investment manager collected historical data of the market over the past 5 years and summarised the results in the table below. He is going to make some investment decision based on the following information. (a) Compute the Sharpe ratio for Fund A and Fund B. [2] (b) Compute the CAPM beta for Fund A and Fund B, hence the Treynor ratios. [4]

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