Practice Question: Sharpe vs Treynor Index
Which of the following statements are correct about Fund 1 and 2 given the following information?
| Fund 1 | Fund 2 | |
| Return on portfolio | 13% | 17% |
| Beta | .95 | 1.02 |
| Standard deviation | .18 | .22 |
Risk free rate of return is 7%
Market return is 15%
- (1) Fund 1 was more efficient under the Sharpe performance index
- (2) Fund 2 was more efficient under the Sharpe performance index
- (3) Fund 1 was more efficient under the Treynor performance index
- (4) Fund 2 was more efficient under the Treynor performance index
- A. Statement (1) and (3)
- B. Statement (1) and (4)
- C. Statement (2) and (3)
- D. Statement (2) and (4)
