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Question
*Significant at the 5 percent level
Consider the five funds shown below:
Fund _a_ _b_ R2_
1 4.0 0.9 0.90
2 -1.6* 1.2 0.95
3 2.5 0.9 0.90
4 1.2 0.8 0.89
5 0.9* 1.3 0.90
a. Which fund's returns are best explained by the market's returns?
b. Which fund had the largest total risk?
c. Which fund had the lowest market risk? The highest?d. Which fund(s), according to Jensen's alpha, outperformed the market?
Answer
This answer is hidden. It contains 187 characters.
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