You have been assigned the task of comparing the investment performance of five different investment managers. After gathering 60 months of excess returns (i.e. returns in excess of monthly risk-free rate) on each fund as well as the monthly excess returns on the entire stock market, you perform the regression of the form (Rp - RFR)t = a + B(RM -RFR); + &t. You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parenthesis. Regression Data (Rp - RFR) Portfolio Alpha Beta R2 Mean Sigma XMN 0.192 1.048 94.1% 1.022% 1.193% (0.11) (0.10) -0.053 0.662 91.6% 0.473 0.764 (0.19) (0.09) PVG 0.463 0.594 68.6% 0.935 (0.19) (0.07) 0.793 SZX 0.355 0.757 64.1% 0.955 (0.22) (0.08) 1.044 CAN 0.296 0.785 94.8% 0.890 0.890 (0.14) (0.12) 1. Which portfolio do you think had the highest degree of diversification over the sample period? Explain. 2. Rank these portfolios' performance according to the Sharpe, Treynor, and Jensen measures. 3. Identify performing and poorly-performing portfolio. Explain. You have been assigned the task of comparing the investment performance of five different investment managers. After gathering 60 months of excess returns (i.e. returns in excess of monthly risk-free rate) on each fund as well as the monthly excess returns on the entire stock market, you perform the regression of the form (Rp - RFR)t = a + B(RM -RFR); + &t. You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parenthesis. Regression Data (Rp - RFR) Portfolio Alpha Beta R2 Mean Sigma XMN 0.192 1.048 94.1% 1.022% 1.193% (0.11) (0.10) -0.053 0.662 91.6% 0.473 0.764 (0.19) (0.09) PVG 0.463 0.594 68.6% 0.935 (0.19) (0.07) 0.793 SZX 0.355 0.757 64.1% 0.955 (0.22) (0.08) 1.044 CAN 0.296 0.785 94.8% 0.890 0.890 (0.14) (0.12) 1. Which portfolio do you think had the highest degree of diversification over the sample period? Explain. 2. Rank these portfolios' performance according to the Sharpe, Treynor, and Jensen measures. 3. Identify performing and poorly-performing portfolio. Explain