Check my work 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 -15.2% -24.5% 1% 2012 25.1 19.5 3 2013 12.4 9.4 2 2014 6.2 7.6 4 2015 -1.2 -2.2 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.) Jensen's alpha Information ratio %
Check my work 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 -15.2% -24.5% 1% 2012 25.1 19.5 3 2013 12.4 9.4 2 2014 6.2 7.6 4 2015 -1.2 -2.2 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.) Jensen's alpha Information ratio %
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:Check my work
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
-15.2%
-24.5%
1%
2012
25.1
19.5
3
2013
12.4
9.4
2
2014
6.2
7.6
4
2015
-1.2
-2.2
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.)
Jensen's alpha
Information ratio
%
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