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Question
| Average Return | Standard Deviation | Beta | |||
| Fund A | 13 | % | 10 | % | 5 |
| Fund B | 19 | % | 20 | % | 1.0 |
| Fund C | 25 | % | 30 | % | 1.5 |
| S&P 500 | 18 | % | 16 | % | 1.0 |
30) You want to evaluate three mutual funds using the Treynor measure for performance evaluation. The risk-free return during the sample period is 6%. The average returns, standard deviations, and betas for the three funds are given below, in addition to information regarding the S&P 500 Index.
The fund with the highest Treynor measure is
A) Fund A.
B) Fund B.
C) Fund C.
D) Funds A and B (tied for highest).
E) Funds A and C (tied for highest).
Answer
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Related questions
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Q:
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Q:
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To become a CFA, you must do all of the following except which one?
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In a defined contribution pension plan, the ________ bears all of the fund's investment performance risk.
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When life insurance companies seek long term investments, they are focusing on________.
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Q:
One of the major functions of the investment committee is to ________.
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B) translate the objectives and constraints of the investment company into an asset universe
C) determine the percentages of each security in the total investment company portfolio
D) calculate and report the overall rate of return to investment company constituents