You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know hat the return correlation between the fund and the market is 0.87. Year 2018 2019 2020 2021 2022 Fund -21.80% 25.10 14.10 6.40 -2.22 Market -41.50% 21.20 14.50 8.80 -5.20 Risk-Free 3% 4 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 ecimal places.
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know hat the return correlation between the fund and the market is 0.87. Year 2018 2019 2020 2021 2022 Fund -21.80% 25.10 14.10 6.40 -2.22 Market -41.50% 21.20 14.50 8.80 -5.20 Risk-Free 3% 4 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 ecimal places.
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 0.87.
Year
2018
2019
2020
2021
2022
Fund
-21.80%
25.10
14.10
6.40
-2.22
Market
-41.50%
21.20
14.50
Jensen's alpha
Information ratio
8.80
-5.20
Risk-Free
3%
ANAM
%
4
2
4
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.
3
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