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 0.97.
Year | Fund | Market | Risk-Free | |||
2011 | –15.20 | % | –30.50 | % | 3 | % |
2012 | 25.10 | 20.10 | 4 | |||
2013 | 13.00 | 11.20 | 2 | |||
2014 | 7.40 | 8.00 | 5 | |||
2015 | –1.56 | –3.20 | 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.)
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 0.97.
Year | Fund | Market | Risk-Free | |||
2011 | –20.6 | % | –39.5 | % | 1 | % |
2012 | 25.1 | 21.0 | 3 | |||
2013 | 13.9 | 13.9 | 2 | |||
2014 | 7.6 | 8.8 | 4 | |||
2015 | –2.1 | –5.2 | 2 | |||
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)