Question

Consider the following information on the average returns on four investment funds over the last five years

Fund Return(%) Standard Deviation Beta

A 25 14 1.2

B 18 15 0.8

C 15 12 0.9

D 21 18 1.2

Over this period the risk free rate of return was 7 per cent, the return on the market portfolio was 18 per cent, with a standard deviation of 13 per cent. Estimate the Sharpe, Jensen and Treynor indices and comment briefly on the outcomes.