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 0.93. Year 2018 2019 2020 2021 2022 Fund -16.409 25.10 13.20 6.20 -1.68 Market -32.50% 20.30 11.80 8.00 -3.20 Jensen's alpha Information ratio Risk-Free 38 34453 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round Intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio 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 0.93. Year 2018 2019 2020 2021 2022 Fund -16.409 25.10 13.20 6.20 -1.68 Market -32.50% 20.30 11.80 8.00 -3.20 Jensen's alpha Information ratio Risk-Free 38 34453 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round Intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.
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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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 0.93.
Year
2018
2019
2020
2021
2022
Fund
-16.408
25.10
13.20
6.20
-1.68
Market
-32.50%
20.30
11.80
8.00
-3.20
Jensen's alpha
Information ratio
Risk-Free
38
4
Calculate Jensen's alpha for the fund, as well as its information ratio.
Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to
2 decimal places. Round the ratio to 4 decimal places.
5
%
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