Consider the following historical performance data for two different portfolios, the Standard and Poor’s 500, and the 90-day T-bill
January 14th, 2018
Consider the following historical performance data for two different portfolios, the Standard and Poor’s 500, and the 90-day T-bill.InvestmentVehicleAverage Rateof ReturnStandardDeviationBetaR2Fund 126.40%20.67%1.3510.751Fund 213.2214.20.9050.713S&P 50015.7113.2590-day T-bill6.20.5a. 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?