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 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Market -24.5% 19.5 9.4 7.6 -2.2 Risk-Free 1% 3 2 4 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
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 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Market -24.5% 19.5 9.4 7.6 -2.2 Risk-Free 1% 3 2 4 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal 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 0.97.
Year
2011
2012
2013
2014
2015
Fund
-15.2%
25.1
12.4
6.2
-1.2
Sharpe
ratio
Market
-24.5%
19.5
9.4
7.6
-2.2
Treynor
ratio
What are the Sharpe and Treynor ratios for the fund? (Do not round
intermediate calculations. Round your answers to 4 decimal places.)
X Answer is complete but not entirely correct.
Risk-Free
1%
3
0.2273 x
2
4
2
3.4773 X
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