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 -23.6% Market -44.5% Risk-Free 1% 2019 25.1 21.5 3 2020 14.4 15.4 2 2021 7.0 9.2 2022 -2.4 -6.2 6 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. Year 2018 Fund -23.6% Market -44.5% Risk-Free 1% 2019 25.1 21.5 3 2020 14.4 15.4 2 2021 7.0 9.2 2022 -2.4 -6.2 6 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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Vijay

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
-23.6%
Market
-44.5%
Risk-Free
1%
2019
25.1
21.5
3
2020
14.4
15.4
2
2021
7.0
9.2
2022
-2.4
-6.2
6
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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