Which time period should investors use when comparing mutual funds? Latest one-year return, ending the most recent month end Latest five-year return, ending the most recent Dec31Latest one- year return, ending the most recent Dec31 No specific time period is necessarily better than any other

Scenario Probability Stock fund Rate of Return Bond fund Rate of Return Severe recession 0.05 -30 -11 Mild recession 0.25 -15 13 Normal Growth 0.40 15 12 Boom 0.30 32 -7 Calculate the covariance and correlation coefficient of the two funds.

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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 2018 Fund -16.4% Market -32.5% Risk-Free 3% 2019 25.1 20.3 4 2020 13.2 11.8 2 2021 2022 6.2 -1.68 8.0 -3.2 5 3 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Sharpe ratio Treynor ratio 4

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Vijay

H4

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. 1TTT Fund Risk-Free Market Year 2011 -20.6% -39.5% 2012 25.1 21.0 3 2013 13.9 13.9 2 2014 7.6 8.8 2015 -2.1 -5.2 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio

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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 2018 Fund -21.20% Market -40.50% Risk-Free 2% 2019 25.10 21.10 4 2020 14.00 14.20 2 2021 6.20 2022 -2.16 8.80 -5.20 4 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: 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 %