QUESTION FOUR (Total: 15 Marks)

QUESTION FOUR (Total: 15 Marks) a). The following information is provided for three mutual funds X, Y, Z and Market (M) Mutual Fund x z Mean Return (%) 12 10 13 11 Standard deviation (%) Beta 18 15 20 17 1.1 0.9 1.2 1.0 2 The mean risk free rate is 6%. Required: Compute Treynor's, Sharpe's and Jensen's measures respectively for the three mutual funds and the Market index and advice on the best fund. (9 marks)