am. 125. You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.95.Year2018Fund-15.80%Market-31.50%Risk-Free3%201925.1020.20202013.1011.502202120227.60-1.628.00-3.2053Calculate 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 4decimal places.Jensen's alphaInformation ratio%

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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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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
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 0.87. Year 2018 2019 2020 2021 2022 Fund -14.85% 25.10 12.90 7.20 -1.50 Market -29.50% 20.00 10.90 8.00 -3.20 Jensen's alpha Information ratio. Risk-Free 3% 5 2 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. (0.0072)
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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 -18.80% Market -36.50% Risk-Free 1% 2019 25.10 20.70 6 2020 13.60 13.00 2 2021 2022 7.00 -1.92 8.40 -4.20 6 2 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 Answer is not complete. 3.69 %
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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 .97. Year Fund Market Risk-Free 2015 −18.80 % −36.50 % 1 % 2016 25.10 20.70 6 2017 13.60 13.00 2 2018 7.00 8.40 6 2019 −1.92 −4.20 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.)
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