Consider the following information for a mutual fund, the market index

QUESTION

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.YearFundMarketRisk-Free2008–17.60%–34.5%2%200925.120.54201013.412.4220116.68.452012–1.80–4.23What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratioConsider 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 .89.YearFundMarketRisk-Free2008–21.20%–40.5%2%200925.121.14201014.014.2220116.28.842012–2.16–5.23Calculate Jensen’s alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Round your Jensen’s alpha answer to 2 decimal places and Information ratio answer to 4 decimal places. Omit the “%” sign in your response.) Jensen’s alpha% Information ratio

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