Question

A mutual fund has earned an average annual return of 24 percent over a five year period while the average market return over the same period was only 18 percent. The risk free rate prevailing at the time was 7.5 percent. The mutual fund had a beta of 1.45. The standard deviation of returns of mutual fund and the market index were 40 percent and 30 percent respectively. Calculate Fama’s net selectivity for the fund showing the decomposition of performance.

Answer 1

Answer:

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Explanation:

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