You are assigned an individual assignment to compare the investment performance of five different portfolio fund. After gathering 12 months of excess returns (i.e., returns in excess of the monthly risk-free rate) on each portfolio fun as well as the monthly excess returns on the entire stock market, you need to perform the following regression. The stock prices of the equity fund can be obtained from investing.com.

You have to prepare the following summary of the data, with the standard errors for each of the coefficients listed in parentheses. (4 Marks)

a. Which fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework? (3 Marks)

b. Rank these funds performance according to the Sharpe, Treynor, and Jensen measures and information ratio (5 Marks)

c. Since you know that according to the CAPM the intercept of these regressions (i.e., alpha) should be zero, this coefficient can be used as a measure of the value added provided by the investment manager. Which funds have statistically outperformed and underperformed the market using a two-sided 95 percent confidence interval? (Note: The relevant t-statistic using 90 observations is 2.00.) (3 Marks)