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 2015 2016 2017 2018 2019 Fund -15.13% 25.1 12.5 6.4 -1.26 Market -25.5% 19.6 9.7 7.6 -2.2 Risk-Free 2% 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal laces.)

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Problem 13-19 Performance Metrics (LO1, CFA7)
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
2015
2016
2017
2018
2019
Fund
-15.13%
Sharpe ratio
Treynor ratio
25.1
12.5
6.4
-1.26
Market
-25.5%
19.6
9.7
7.6
-2.2
Risk-Free
2%
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal
places.)
Transcribed Image Text:Problem 13-19 Performance Metrics (LO1, CFA7) 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 2015 2016 2017 2018 2019 Fund -15.13% Sharpe ratio Treynor ratio 25.1 12.5 6.4 -1.26 Market -25.5% 19.6 9.7 7.6 -2.2 Risk-Free 2% What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
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