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Business, 28.05.2021 14:10 lydia1melton

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 23% 30% 1.3
Fund B 20% 19% 1.2
Fund C 19% 17% 1.1
S&P 500 18% 15% 1.0
1. Which fund has the highest Sharpe measure?
2. Which fund has the highest Treynor measure?
3. If the answer to (1) and (2) is different, explain the reason for the conflicting results.

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