Question
In: Finance
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 0.97.
| Year | Fund | Market | Risk-Free | |||
| 2011 | –17.6 | % | –34.5 | % | 2 | % |
| 2012 | 25.1 | 20.5 | 4 | |||
| 2013 | 13.4 | 12.4 | 2 | |||
| 2014 | 6.6 | 8.4 | 5 | |||
| 2015 | –1.8 | –4.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places
Solutions
Expert Solution
Please see the table below. Please be guided by the second column titled “Linkage” to understand the mathematics. The last row highlighted in yellow is your answer. Figures in parenthesis, if any, mean negative values. All financials are in $. Adjacent cells in blue contain the formula in excel I have used to get the final output.
Sharpe Ratio = Average of
excess returns / Std deviation of excess returns = 1.94% / 15.54% =
0.1248
Beta of the fund = Correlation x Std dev of the fund / Std dev of the market = 0.97 x 16.08% / 21.51% = 0.7250
Treynor Ratio = Average excess return / Beta = 1.94% / 0.7250 = 0.0268
jeff jeffy answered 1 year agoRelated Solutions
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
.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...
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...
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
.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...
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
.97. Year Fund Market Risk-Free 2015 −18.2 % −35.5 % 2 % 2016 25.1
20.6 5 2017 13.5 12.7 2 2018 6.8 8.4 6 2019 −1.86 −4.2 3 What are
the Sharpe and Treynor ratios for the fund? (Do not round
intermediate calculations. Round your answers to...
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
0.97.
Year
Fund
Market
Risk-Free
2011
–18.8
%
–36.5
%
1
%
2012
25.1
20.7
6
2013
13.6
13.0
2
2014
7.0
8.4
6
2015
–1.92
–4.2
2
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...
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
0.97.
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...
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
.97.
Year
Fund
Market
Risk-Free
2015
-16.4%
-32.5%
3%
2016
25.1
20.3
4
2017
13.2
11.8
2
2018
6.2
8.0
5
2019
-1.68
-3.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to 4
decimal places.)...
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
.97.
Year
Fund
Market
Risk-Free
2015
−15.2
%
−30.5
%
3
%
2016
25.1
20.1
4
2017
13.0
11.2
2
2018
7.4
8.0
5
2019
−1.56
−3.2
2
What are the Sharpe and Treynor ratios for the fund?
Sharpe=
Treynor=
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
0.89.
Year
Fund
Market
Risk-Free
2011
–21.20
%
–40.50
%
2
%
2012
25.10
21.10
4
2013
14.00
14.20
2
2014
6.20
8.80
4
2015
–2.16
–5.20
3
Calculate Jensen’s alpha for the fund, as well as its
information ratio. (Do not round intermediate calculations.
Enter the...
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
0.89.
Year
Fund
Market
Risk-Free
2011
–17.60
%
–34.50
%
2
%
2012
25.10
20.50
4
2013
13.40
12.40
2
2014
6.60
8.40
5
2015
–1.80
–4.20
3
Calculate Jensen’s alpha for the fund, as well as its
information ratio.
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