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 | –20.60 | % | –39.50 | % | 1 | % |
2012 | 25.10 | 21.00 | 3 | |||
2013 | 13.90 | 13.90 | 2 | |||
2014 | 7.60 | 8.80 | 4 | |||
2015 | –2.10 | –5.20 | 2 | |||
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.)
Jenen's alpha %
information ratio %