You Want to Evaluate Three Mutual Funds Using the Sharpe

question 61

Multiple Choice

You want to evaluate three mutual funds using the Sharpe measure for performance evaluation.The risk-free return during the sample period is 5%.The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index. The investment with the highest Sharpe 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).

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