You Want to Evaluate Three Mutual Funds Using the Sharpe

question 75

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 is the data for the S&P 500 index. $$\begin{array} { | l | l | l | l | } \hline & \text { Average Return } & \text { Standard. Deviation } & \text { Beta } \\\hline \text { Fund A } & 23 \% & 30 \% & 1.3 \\\hline \text { Fund B } & 20 \% & 19 \% & 1.2 \\\hline \text { Fund C } & 19 \% & 17 \% & 1.1 \\\hline \text { S\&P 500 } & 18 \% & 15 \% & 1.0 \\\hline\end{array}$$ The investment with the highest Sharpe measure is __________.

• A)Fund A
• B)Fund B
• C)Fund C
• D)the index
• E)Funds A and C are tied for highest

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Definitions:

Sex-linked

Referring to traits genetically determined by genes located on sex chromosomes.

Autosomal

Pertaining to any of the chromosomes except the sex chromosomes; relating to genes that are located on the autosomes.

Recessive

A term used to describe a gene that expresses its trait only when paired with an identical gene.

X-linked Recessive

A mode of inheritance where a recessive gene on the X chromosome causes a condition or trait to be expressed primarily in males.