The Average Returns, Standard Deviations and Betas for Three Funds

Multiple Choice

The average returns, standard deviations and betas for three funds are given below along with data for the S&P 500 index. The risk-free return during the sample period is 6%. You wish to evaluate the three mutual funds using the Sharpe measure for performance evaluation. The fund with the highest Sharpe measure of performance is ________.

A) Fund A
B) Fund B
C) Fund C
D) indeterminable