a o Question 2: As part of the restructuring of the benefits department of your company, you have been assigned the job of comparing the performance of five different pension fund managers. After gathering 60 months of excess returns (returns less the risk-free rate) as well as the excess returns of the market, you perform a CAPM regression using the data. The following data is the results of the five regressions: Regression Data RFund - Risk-Free Rate Pension Fund B R2 Mean Manager Pension Smensions .19% 1.05 94.2% 1.02% 4.20% Hedge It and How -.05% .67 91.6% .46% 2.63% Under the Mattress .45% .60 67.4% .92% 2.84% Hocus Pocus .37% .75 63.7% .96% 3.68% Smoking Aces .30% .81 95.0% .89% 3.19% a. What pension fund has the highest level of diversification? (2 points) b. Rank the five pension funds according to the Sharpe, Treynor and Jensen measures - USE ANNUALIZED VALUES where appropriate to calculate these measures. (6 points) a o Question 2: As part of the restructuring of the benefits department of your company, you have been assigned the job of comparing the performance of five different pension fund managers. After gathering 60 months of excess returns (returns less the risk-free rate) as well as the excess returns of the market, you perform a CAPM regression using the data. The following data is the results of the five regressions: Regression Data RFund - Risk-Free Rate Pension Fund B R2 Mean Manager Pension Smensions .19% 1.05 94.2% 1.02% 4.20% Hedge It and How -.05% .67 91.6% .46% 2.63% Under the Mattress .45% .60 67.4% .92% 2.84% Hocus Pocus .37% .75 63.7% .96% 3.68% Smoking Aces .30% .81 95.0% .89% 3.19% a. What pension fund has the highest level of diversification? (2 points) b. Rank the five pension funds according to the Sharpe, Treynor and Jensen measures - USE ANNUALIZED VALUES where appropriate to calculate these measures. (6 points)