You have narrowed your choices to the following four small-cap funds, and want to choose...
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You have narrowed your choices to the following four small-cap funds, and want to choose the best investment on a risk-adjusted basis:
| AA | BB | CC | DD | |
|---|---|---|---|---|
| 5-yr annualized return | 7.2% | 8.4% | 6.5% | 8.6% |
| Standard deviation | 20 | 24 | 19 | 28 |
| Sharpe ratio | .35 | .30 | .29 | .26 |
| Alpha | 0.8 | 1.5 | -0.2 | 1.1 |
| Beta | 0.98 | 1.10 | 1.08 | 1.34 |
| R-squared | .78 | .88 | .92 | .86 |
Which fund would you choose?
A) Fund BB
B) Fund AA
C) Fund CC
D) Fund DD
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