Question
In: Finance
Consider the following information for a mutual fund, the market index, and the risk-free rate. You...
Consider the following 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 2008 -21.2 % -40.5 % 2 % 2009 25.1 21.1 4 2010 14 14.2 2 2011 6.2 8.8 4 2012 -2.16 -5.2 3 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.)
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Consider the following information for a mutual fund, the market index, and the risk-free rate. You...
Consider the following 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 0.87. Year Fund
Market Risk-Free 2008 -14.85 % -29.5 % 3 % 2009 25.1 20 5 2010 12.9
10.9 2 2011 7.2 8 5 2012 -1.5 -3.2 3 Calculate Jensen’s alpha for
the fund, as well as its information ratio.
Jensen's Alpha
Information Ratio
How do I work through this using...
Problem 13-19 Consider the following information for a mutual fund, the market index, and the risk-free...
Problem 13-19
Consider the following 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
2008
–15.06
%
–26.5
%
3
%
2009
25.1
19.7
5
2010
12.6
10.0
2
2011
6.6
7.6
4
2012
–1.32
–2.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round...
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=
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