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 -15.8% Sharpe ratio Treynor ratio 25.1 13.1 7.6 -1.62 Market -31.59 20.2 11.5 8.0 -3.2 Risk-Free 39 5 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round Intermediate calculations. Round your answers to 4 decimal places.)
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 -15.8% Sharpe ratio Treynor ratio 25.1 13.1 7.6 -1.62 Market -31.59 20.2 11.5 8.0 -3.2 Risk-Free 39 5 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round Intermediate calculations. Round your answers to 4 decimal places.)
Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
7th Edition
ISBN:9780357033609
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter13: Investing In Mutual Funds, Etfs, And Real Estate
Section: Chapter Questions
Problem 2FPE
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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 97.
Tear
2015
2016
2017
2018
2019
Fund
-15.8%
25.1
13.1
7.6
-1.62
Sharpe ratio
Treynor ratio
Market
-31.50
20.2
11.5
8.0
-3.2
Risk-Free.
39
5
2
5
3
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal
places.)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F360e0a92-702c-44a9-8089-d453dee89ca1%2Fb5ee7504-61af-4918-a0cc-5019d09ab9ff%2Flsc0p5w_processed.jpeg&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 97.
Tear
2015
2016
2017
2018
2019
Fund
-15.8%
25.1
13.1
7.6
-1.62
Sharpe ratio
Treynor ratio
Market
-31.50
20.2
11.5
8.0
-3.2
Risk-Free.
39
5
2
5
3
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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