Comparative Risk-Adjusted Performance of a Mutual Fund

Jane is managing a mutual fund that aims to achieve superior risk-adjusted returns. Over the past year, the fund has generated an annual return of 12% while its benchmark, the S&P 500 index, returned 8%. The standard deviation of the fund’s returns is 10%, and the standard deviation of the benchmark's returns is 7%. Additionally, the risk-free rate during this period was 2%. Based on this information, calculate the Sharpe ratio of Jane's mutual fund and evaluate how it compares against the benchmark's Sharpe ratio.

Which of the following statements is true regarding the risk-adjusted performance of Jane’s mutual fund?