How is diversification measured in statistical framework

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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 Sharp, Treynor's, and Jensen measures.

c. Since you know that according to the CAPM the intercept of these regressions (1.e. alpha should be zero, this coefficient can be used as a measure off 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).

Reference no: EM133121131

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