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 | –15.2 | % | –30.5 | % | 3 | % |
2012 | 25.1 | 20.1 | 4 | |||
2013 | 13.0 | 11.2 | 2 | |||
2014 | 7.4 | 8.0 | 5 | |||
2015 | –1.56 | –3.2 | 2 | |||
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
Sharpe ratio _____
Treynor ratio _____
WHEN LAST TIME I DID THIS SUM, IF I ROUND BETA VALUE TO 2 DECIMALS, THEN ONLY TREYNOR RATIO TALLIED. THIS IS WAHT STUDENT TOLD ME. SO I HAVE ROUNDED BETA TO 2 DECIMALS.
IF WE DID NOT ROUND BETA, THEN BETA = 0.7536, THEN
TREYNOR RATIO = 0.0338, SO CHECK ACCORDINGLY