You have been assigned the task of comparing the investment performance of five different pension fund managers. After gathering 60 months of excess returns (i.e., returns in excess of the monthly risk-free rate) on each fund as well as the monthly excess returns on the entire stock market, you perform the regressions of the form: (Rfund - RFR)= 0 + B(Rmkt - RFR): + e: You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parentheses. REGRESSION DATA (RFUND - RFR) Portfolio a B R2 Mean o ABC 0.467 0.588 67.0% 0.930% 0.794% (0.19) (0.08) DEF -0.063 0.664 93.0 0.464 0.774 (0.19) (0.10) GHI 0.188 1.038 93.7 1.032 1.203 (0.11) (0.11) JKL 0.350 0.748 71.3 0.955 1.052 (0.22) (0.09) MNO 0.298 0.785 95.0 0.900 0.885 (0.14) (0.13) a. Which fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework? -Select- had the highest degree of diversification over the sample period. -Select-vis a a measure of diversification. b. Rank these funds' performance according to the Sharpe, Treynor, and Jensen measures. Portfolio Rank (Sharpe measure) Rank (Treynor measure) Rank (Jensen measure) ABC -Select- -Select- -Select- DEF -Select- -Select- -Select- GHI -Select- -Select- -Select- JKL -Select- -Select- -Select- MNO -Select- -Select- -Select- 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% confidence interval? (Note: The relevant t-statistic using 60 observations is 2.00.) -Select- have/has statistically outperformed the market at a 95% level of confidence. -Select- have/has statistically underperformed the market at a 95% level of confidence