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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 0.93. Year 2018 Fund -23.60% Market -44.50% Risk-Free 1% k 2019 25.10 21.50 3 2020 14.40 15.40 2 2021 2022 7.00 -2.40 9.20 -6.20 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 3.94 % 0.1830

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 0.93. Year 2018 Fund -23.60% Market -44.50% Risk-Free 1% k 2019 25.10 21.50 3 2020 14.40 15.40 2 2021 2022 7.00 -2.40 9.20 -6.20 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 3.94 % 0.1830

Essentials Of Investments
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
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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 0.93. Year 2018 Fund -23.60% Market -44.50% Risk-Free 1% k 2019 25.10 21.50 3 2020 14.40 15.40 2 2021 2022 7.00 -2.40 9.20 -6.20 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 3.94 % 0.1830
Transcribed Image Text: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 0.93. Year 2018 Fund -23.60% Market -44.50% Risk-Free 1% k 2019 25.10 21.50 3 2020 14.40 15.40 2 2021 2022 7.00 -2.40 9.20 -6.20 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 3.94 % 0.1830
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