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You have been given the following return information for a mutual fund, the market index, and...

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 0.91.

Year Fund Market Risk-Free
2011 –17.00 % –33.50 % 2 %
2012 25.10 20.40 6
2013 13.30 12.10 2
2014 6.40 8.00 5
2015 –1.74 –3.20 3

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.)

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