Exhibit 18-11
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

question 20

Multiple Choice

Exhibit 18-11
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)
The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. $$\begin{array} { c c c c } \text { Fund } & \text { Beta } & \begin{array} { c } \text { Standard } \\\text { Deviation (\%) }\end{array} & \text { Return (\%) } \\\hline \text { A } & 1.50 & 18.95 & 12.5 \\\text { B } & 1.20 & 12.41 & 13.0 \\\text { C } & 0.90 & 9.30 & 11.2 \\\text { D } & 0.50 & 8.10 & 9.5\end{array}$$
-Refer to Exhibit 18-11. Based on the Sharpe Measure, which portfolio preformed best?

• A) A
• B) B
• C) C
• D) D
• E) Market