Calculate the fama overall performance measure for funds

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Reference no: EM13923313

Consider the following historical performance data for two different portfolios, the Stan- dard and Poor's 500, and the 90-day T-bill.

Investment Vehicle

Average Rate of Return

Standard

Deviation Beta R 2

Fund 1	26.40%	20.67%	1.351	0.751
Fund 2	13.22	14.20	0.905	0.713
S&P 500	15.71	13.25
90-day T-bill	6.20	0.50

a. Calculate the Fama overall performance measure for both funds.

b. What is the return to risk for both funds?

c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity.

d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance?

Reference no: EM13923313

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