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 Fund Market Risk-Free 2018 -21.8% -41.5% 3% 2019 25.1 2020 14.1 21.2 14.5 4 8.8 2 2021 6.4 2022 -2.22 What are the Sharpe and Treynor ratios for the fund? 4 -5.2 3

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
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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 0.97.
Year Fund Market Risk-Free
2018 -21.8% -41.5% 3%
2019 25.1
2020 14.1
2021 6.4
2022 -2.22
21.2
14.5
8.8
4
2
4
-5.2 3
What are the Sharpe and Treynor ratios for the fund?
Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
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 Fund Market Risk-Free 2018 -21.8% -41.5% 3% 2019 25.1 2020 14.1 2021 6.4 2022 -2.22 21.2 14.5 8.8 4 2 4 -5.2 3 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
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