Use the following information for the following problems. Assume risk-free rate is 6%. Fund Beta...
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Use the following information for the following problems. Assume risk-free rate is 6%. Fund Beta Standard Deviation of Return (%) Return (%) XXX 1.07 5.13 19 YYY 1.02 4.28 17 ZZZ 0.86 3.52 12 Market 1.00 3.80 13
Required: a. Determine the Treynor measure and Sharpe measure for all three funds and the market. Decide whether funds are underperformed, equaled, or outperformed the market on a risk-adjusted basis using both the Treynor measure and the Sharpe measure. (8 marks)
b. Explain the reason for the conflicting results when using the Treynor measure versus the Sharpe measure. (7 marks)
c. Explain why the investors utility curves is important in portfolio theory. (10 marks
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