he fund with the highest Sharpe measure is

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The risk-free return during the sample period is 4%. The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index.
 

  Average Return  Standard Deviation Beta
Fund A 18 % 38 % 1.6
Fund B 15 % 27 % 1.3
Fund C 11 % 24 % 1.0
S&P 500 10 % 22 % 1.0
 


The fund with the highest Sharpe measure is

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