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. Fund Market Risk-Free Year 2018 -15.26 -24.51 19 2019 25.1 19.5 3 2020 12.4 9.4 2 2021 6.2 7.6 2022 -1.2 -2.2 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
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. Fund Market Risk-Free Year 2018 -15.26 -24.51 19 2019 25.1 19.5 3 2020 12.4 9.4 2 2021 6.2 7.6 2022 -1.2 -2.2 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
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: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
-15.26
Market
-24.5
Risk-Free
14
2019
25.1
19.5
3
2020
12.4
9.4
2
2021
2022
6.2 7.6
-1.2
4
-2.2
2
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
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