Ans.

2 SHARPE , TREYNOR AND JENSEN PERFORMANCE INDEXES FOR XY

XYZ Fund's ABC Fund's Market Return T-Bill Return (%)

PERIOD
Return (%) Return (%) (%) ( Rf )
2017 15 10 11 6
2018 -6 -2 -5 5
2019 17 13 12 7
2020 18 9 11 6
2021 22 11 13 7

Mean : R͞p 13.2 8.2 8.4 6.2

Standard
11.03 5.89 7.54
Deviation : σp
Beta : βp 1.45 0.76 1.00
MANCE INDEXES FOR XYZ AND ABC FUNDS

XYZ Funds's ABC Fund's Market Index

Treynor Measure (R͞p
- Rf/βp) 8.91 0.09 2.20

Sharpe Measure (R͞p

- Rf/σp 12.64 7.15 7.58

Jensen Measure (R͞p -

[Rf + βp (R͞m - Rf )] 3.82 0.32 0.00