Clculate performance measures of each of funds a b and c

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Reference no: EM13475743

The following data are available relating to the performance of CSF Equity Fund and the market portfolio:

	Fund A	Fund B	Fund C	Market Portfolio
Average return	18%	12%	30%	15%
Standard deviation	25%	15%	30%	20%
Beta	1.25	0.6	2.5

The risk-free return during the sample period was 5%.

1. Calculate the performance measures of each of the funds (A, B, and C) using Sharpe's, Treynor's, and Jensen's measures. Rank the results for each of the funds.

2. Identify the fund(s) that outperformed the market using Sharpe's ratio and Treynor's measure, respectively.

Are the rankings consistent? Explain any inconsistency.

Reference no: EM13475743

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