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
Section: Chapter Questions
Problem 1PS
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Question
You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The risk-free return during the sample period is 4%. The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index.
| Average Return | Standard Deviation | Beta | |||
| Fund A | 18 | % | 38 | % | 1.6 |
| Fund B | 15 | % | 27 | % | 1.3 |
| Fund C | 11 | % | 24 | % | 1.0 |
| S&P 500 | 10 | % | 22 | % | 1.0 |
The fund with the highest Sharpe measure is
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