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. Fund -18.20 Year Market Risk-Free 24 2015 2016 -35.50 20.60 25.10 5 2017 13.50 12.70 2 2018 6.80 8.40 2019 -1.86 -4.20 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.) Jensen's alpha Information 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 .97. Fund -18.20 Year Market Risk-Free 24 2015 2016 -35.50 20.60 25.10 5 2017 13.50 12.70 2 2018 6.80 8.40 2019 -1.86 -4.20 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.) Jensen's alpha Information 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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H4
![You have been given the following return informatlon 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
2016
2017
-18.201
-35.50N
21
25.10
20.60
12.70
13.50
2
2018
6.80
8.40
-4.20
6
2019
-1.86
3
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.)
Jensen's alpha
Information ratio](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F91273e0a-fe2d-474b-b028-2d4c36edfdd9%2Fafcc0628-297f-4e16-95c3-c9d752eac456%2F3rs1psv_processed.jpeg&w=3840&q=75)
Transcribed Image Text:You have been given the following return informatlon 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
2016
2017
-18.201
-35.50N
21
25.10
20.60
12.70
13.50
2
2018
6.80
8.40
-4.20
6
2019
-1.86
3
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.)
Jensen's alpha
Information ratio
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