Measure the performance of the three funds

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Question - The return and risk figures of two mutual funds and the stock market index are given in the table below:

Fund

Return

Standard deviation

Beta

A

12%

18%

0.7

B

19%

25%

1.3

Market Index

15%

20%

1.0

Required - Given that the risk free interest rate is 7%

a) Measure the performance of the three funds as per Sharp ratio and determine which fund is better performed and why?

b) Measure the performance of the three funds as per Treynor ratio and determine which fund is better performed and why?

c) What is the difference and similarity of Sharp ratio with Treynor ratio in portfolio performance measurement?

Reference no: EM132610914

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