In: Finance
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .95.
Year | Fund | Market | Risk-Free | |||
2015 | −23.00 | % | −43.50 | % | 3 | % |
2016 | 25.10 | 21.40 | 5 | |||
2017 | 14.30 | 15.10 | 2 | |||
2018 | 6.80 | 8.80 | 6 | |||
2019 | −2.34 | −5.20 | 2 | |||
Calculate Jensen’s alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)
Note: answer is not
Jensens alpha: 32.62
Information Ration: 0.4218
Do not round intermediate calculations.
Answer:
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