An excess returns regression of the fund against ASX200 index yields the followi

Question

An excess returns regression of the fund against ASX200 index yields the following results: 12% 10 27% 15 20 296 |1.3 | 1.95% | 1.25% | 8% 1 0.8 0.35 0.85 3% ASX 200 11 60 monthly observations were used to estimate the regression 1. Which fund(s) was able to outperform the benchmark (ASX 200) in terms of Sharpe's 2. Which fund(s) was able to outperform the benchmark (ASX 200) in terms of Information 3. Which fund(s) was able to outperform the benchmark (ASX 200) on a consistent measure? ratio? (statistically significant) basis?

Explanation / Answer

Sharpe Measure of Fund A Sharpe Measure of Fund A Sharpe Measure of Fund B Fund B was able to outperform in terms of Sharpe measure

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