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Identify performing and poorly-performing portfolios

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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 = α + β(RM - RFR)t + εt. You have prepared the following summary of the data, with the standard errors for each of the coefficients listed in parenthesis.

Problem 1. Which portfolio had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework?

Problem 2. Rank these portfolios' performance according to the Sharpe, Treynor, and Jensen measures.

Problem 3. Identify performing and poorly-performing portfolios. Explain.

Reference no: EM132833957

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