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 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.80 -1.38 Market -27.50% 19.80 10.30 7.60 -2.20 Jensen's alpha Information ratio Risk-Free 1% 5 2 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. % Extensions
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 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.80 -1.38 Market -27.50% 19.80 10.30 7.60 -2.20 Jensen's alpha Information ratio Risk-Free 1% 5 2 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. % Extensions
PFIN (with PFIN Online, 1 term (6 months) Printed Access Card) (New, Engaging Titles from 4LTR Press)
6th Edition
ISBN:9781337117005
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter13: Investing In Mutual Funds, Etfs, And Real Estate
Section: Chapter Questions
Problem 8FPE
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![Problem 13-20 Jensen's Alpha (LO1, CFA5)
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
2018
2019
2020
2021
2022
Fund
-14.99%
25.10
12.70
6.80
-1.38
Market
-27.50%
Jensen's alpha
Information ratio
19.80
10.30
7.60
-2.20
Risk-Free
1%
5
2
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.
Extensions
%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fc893ed08-1101-4496-af8b-898ad30d90b8%2F4c0298c4-e536-4729-aac6-393d7f5cf5ca%2Fnl03e5_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Problem 13-20 Jensen's Alpha (LO1, CFA5)
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
2018
2019
2020
2021
2022
Fund
-14.99%
25.10
12.70
6.80
-1.38
Market
-27.50%
Jensen's alpha
Information ratio
19.80
10.30
7.60
-2.20
Risk-Free
1%
5
2
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.
Extensions
%
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