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b) The following information on the performance of three funds A, B and C in Australia. Fund Market Risk-free rate Fund A Fund B
b) The following information on the performance of three funds A, B and C in Australia. Fund Market Risk-free rate Fund A Fund B Fund C (i) ?? ? Average return (%) 19.50 28.65 25.70 Standard deviation (%) 10.75 14.82 12.33 Beta 0.873 1.251 1.005 Use the data provided on Canvas to calculate the average annual return of the market (ASX/S&P200). Find a proxy for the risk free rate in Australia and explain your reasoning. [2 marks] (ii) Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results. [6 marks].
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Management and Cost Accounting
Authors: Colin Drury
8th edition
978-1408041802, 1408041804, 978-1408048566, 1408048566, 978-1408093887
