You want to evaluate three mutual funds. The risk-free return during the sample period is The average returns, standard deviations, and betas for the three funds are given below. 5%. as are the data for the S&P 500 Index.

Fund Avg Std Dev Beta
A 13.6% 40% 1.1
B 13.1% 25% 1.0
C 12.4% 30% 1.3
S&P 500 12.0% 15% 1.0

You want to evaluate the three mutual funds using the Sharpe ratio for performance evaluation. The fund with the highest Sharpe ratio of performance is.

a. fund A
b. fund B
c. fund C
d. The answer cannot be determined from the information given.