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 Jensen's alpha Information ratio 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.) Risk-Free 18 3 2 4 2 %
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 Jensen's alpha Information ratio 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.) Risk-Free 18 3 2 4 2 %
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 0.97.
Year
2011
2012
2013
2014
2015
Fund
-15.2%
25.1
12.4
6.2
-1.2
Market
-24.5%
19.5
Jensen's alpha
Information ratio
9.4
7.6
-2.2
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.)
Risk-Free
1%
3
2
4
2
%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fb3800ab1-9583-4d1f-9ecb-ce2654fdd5c9%2Faeaf1b68-cae7-490d-ba0c-41fd69e30b2f%2F51fhmc9_processed.png&w=3840&q=75)
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
Market
-24.5%
19.5
Jensen's alpha
Information ratio
9.4
7.6
-2.2
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.)
Risk-Free
1%
3
2
4
2
%
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