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 alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)

Expert Solution

jeff jeffy answered 2 years ago

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 .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 0.97. 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...

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

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