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 Fund Market Risk-Free 2015 −18.80 % −36.50 % 1 % 2016 25.10   20.70   6   2017 13.60   13.00   2   2018 7.00   8.40   6   2019 −1.92   −4.20   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.)

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
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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.

 

Year Fund Market Risk-Free
2015 −18.80 % −36.50 % 1 %
2016 25.10   20.70   6  
2017 13.60   13.00   2  
2018 7.00   8.40   6  
2019 −1.92   −4.20   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.)

 

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