Vijay You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.97.Year2018Fund-23.6%Market-44.5%Risk-Free1%201925.121.53202014.415.4220217.09.22022-2.4-6.262What are the Sharpe and Treynor ratios for the fund?Note: Do not round intermediate calculations. Round your answers to 4 decimal places.Sharpe ratioTreynor ratio

Part 2: Explanation:Step 1: Calculate the average annual return for the fund and the market.To…

Answered: You have been given the following…

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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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 .97. Year Fund Market Risk-Free 2015 −18.80 % −36.50 % 1 % 2016 25.10 20.70 6 2017 13.60 13.00 2 2018 7.00 8.40 6 2019 −1.92 −4.20 2 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)
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