Question-4: [1+2+3+3+1] A Canadian pension fund has employed three investment managers, each of whom is responsible for investing in one-third of all asset classes so that the pension fund has a well- diversified portfolio. Information about the managers is given below. Average Return (%) 0(%) B 10 20 1.1 Manager Xavi Yaya Toure Zlatan 11 10 0.7 12 25 0.6 Market (M) 9 19 Risk-free rate (R) 3 (a) Explain which fund will be impacted the least when the markets are falling. (b) Calculate the expected return for each fund manager and comment on which fund has generated the best performance. (c) Calculate the Sharpe Ratios and Treynor Ratios for each fund. Page 2 of 4 SETA (d) Calculate the Jensen's Alpha for each fund? (e) Which of the fund managers appears to be exhibiting better stock picking skills