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 | –22.4 | % | –42.5 | % | 3 | % |
2012 | 25.1 | 21.3 | 5 | |||
2013 | 14.2 | 14.8 | 2 | |||
2014 | 6.6 | 8.8 | 6 | |||
2015 | –2.28 | –5.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
Sharpe ratio = (average fund return - average risk free rate) / standard deviation of fund
Treynor ratio = (average fund return - average risk free rate) / beta of fund
average and standard deviation are calculated using STDEV.S function in Excel
beta of fund = correlation of fund with market * standard deviation of fund / standard deviation of market