Consider the following historical performance data for two different portfolios, the Standard and Poorâ€™s 500, and the 90-day T-bill.InvestmentVehicleAverage Rate of ReturnStandardDeviationBetaR2Fund 126.40%20.67%1.3510.751Fund 213.2214.20.9050.713S&P 50015.7113.2590-day T-bill6.20.5
a. Calculate the Fama overall performance measure for both funds.
b. What is the return to risk for both funds?
c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity.
d. Explain the meaning of the net selectivity measure and how it helps you evaluate investor performance. Which fund had the best performance? Get Finance Help Today