Consider the following funds and the market portfolio:   Bell Fund Cloche Fund Tintinnabulum Fund 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 sa

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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IINV4 4c

Consider the following funds and the market portfolio:

 

Bell Fund

Cloche Fund

Tintinnabulum Fund

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%.

Rankings:

 

Particulars

Bell Fund

Cloche Fund

Tintinnabulum Fund

Sharpe Ratio

2

3

1

Treynor Ratio

2

1

3

Jensen's Alpha

2

3

1

 

Are the rankings consistent? Explain any inconsistency.

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