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The following data are for the performance of two mutual funds: Fund A Average Return Standard Deviation Beta 14% 5.7 1.2 0.9 Fund E 16%
The following data are for the performance of two mutual funds: Fund A Average Return Standard Deviation Beta 14% 5.7 1.2 0.9 Fund E 16% 9.0 The average return for the market over the period was 13.5%. Assume a 3% risk free rate of return. Determine which fund had the best performance using Sharpe's and Treynor's (10 marks) (10 marks) (10 marks) How would you evaluate a Fund manager's performance?(10 marks) (10 marks) a) index b) Use Jensen's index to determine how mutual funds A and B performed. c) Which index do you consider to be more useful? d) e) Is there any evidence that fund managers can outperform the market
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