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: (Round - RFR), = a + BC Ronda - RFR), + er You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parentheses. REGRESSION DATA (REUND - RFR) Portfolio R? Me an ABC 94.1% 1.022% 1.193% (0.11) (0.10) 0473 0.764 (0.19) (0.09) 0.463 0.594 686 (0.19) (0.07) 0.757 (0.22) (0.08) (MNO) 0.296 0.890 0.890 (0.14) (0.12) a. Which fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework? b. Rank these funds' performance according to the Sharpe, Treynor, and Jensen measures. 0.192 1.048 DEF -0.053 0.662 91.6 GHI 0935 0.793 JKL 0.355 64.1 0.955 1.044 0.785 948 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: (Round - RFR), = a + BC Ronda - RFR), + er You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parentheses. REGRESSION DATA (REUND - RFR) Portfolio R? Me an ABC 94.1% 1.022% 1.193% (0.11) (0.10) 0473 0.764 (0.19) (0.09) 0.463 0.594 686 (0.19) (0.07) 0.757 (0.22) (0.08) (MNO) 0.296 0.890 0.890 (0.14) (0.12) a. Which fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework? b. Rank these funds' performance according to the Sharpe, Treynor, and Jensen measures. 0.192 1.048 DEF -0.053 0.662 91.6 GHI 0935 0.793 JKL 0.355 64.1 0.955 1.044 0.785 948