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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. (1) Fund 1 was more efficient under the Sharpe performance index
  2. (2) Fund 2 was more efficient under the Sharpe performance index
  3. (3) Fund 1 was more efficient under the Treynor performance index
  4. (4) Fund 2 was more efficient under the Treynor performance index
  1. A. Statement (1) and (3)
  2. B. Statement (1) and (4)
  3. C. Statement (2) and (3)
  4. D. Statement (2) and (4)