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 0.91.
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.