You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that t return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -19.4% Sharpe ratio Treynor ratio 25.1 13.7 7.2 -1.98 Market -37.5% 20.8 13.3 8.4 -4.2 Risk-Free 1% 4 2 6 2 What are the Sharpe and Treynor ratios for the fund? Note: 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 t return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -19.4% Sharpe ratio Treynor ratio 25.1 13.7 7.2 -1.98 Market -37.5% 20.8 13.3 8.4 -4.2 Risk-Free 1% 4 2 6 2 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers 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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