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  3. portfolio r2 mean abc 0.192 1.048 94.1% 1.022%

Portfolio R2 Mean ABC 0.192 1.048 94.1% 1.022% 1.193% (0.11) (0.10) DEF...

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Accounting

Portfolio R2 Mean ABC 0.192 1.048 94.1% 1.022% 1.193% (0.11) (0.10) DEF 0.053 0.662 91.6 0.473 0.764 (0.19) (0.09) GHI 0.463 0.594 68.6 0.935 0.793 (0.19) (0.07) JKL 0.355 0.757 64.1 0.955 1.044 (0.22) (0.08) (MNO) 0.296 0.785 94.8 0.890 0.890 (0.14) (0.12)

a. Which fund had the highest degree of diversification over the sample period? How is diversification measured in this statistical framework?

b. Rank these funds performance according to the Sharpe, Treynor, and Jensen measures.

c. Since you know that according to the CAPM the intercept of these regressions (i.e., alpha) should be zero, this coefficient can be used as a measure of the value added provided by the investment manager. Which funds have statistically outperformed and underperformed the market using a two-sided 95 percent confidence interval? (Note: The relevant t-statistic using 60 observations is 2.00.)

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