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Please show work. Given the performance of 3 mutual funds and S&P500 over the past 15 years in table below: Return and Risk data for
Please show work.
Given the performance of 3 mutual funds and S&P500 over the past 15 years in table below: Return and Risk data for 3 equity mutual funds and SPY, 15-year period Mutual Fund Average Return % Standard Deviation % Beta 18.85 1.46 14.09 10.27 1.24 18.39 11.82 1.10 S&P 500 16.35 14.44 1.0 12.86 R2 .64 79 39 1.0 And assuming that current and average of past 15 years risk free rate is 7.96 %, and using a market risk premium of 8.39% (16.35 -7.96) for the 15-year period, estimate: a. Sharpe ratios of all 3 funds and S&P 500. Which fund has the highest risk adjusted performance according to Sharpe measure? Which of the above funds have beaten the market according to Sharpe measure? b. Treynor of all 3 funds and S&P 500. Which fund has the highest risk adjusted performance according to Treynor measure? Which of the above funds have beaten the market according to Treynor measures? c. Jensen's alpha for fund 1 d. Which fund is exposed to most nonsystematic or unique riskStep by Step Solution
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