Aa.1 You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.91Year20182019202020212022Fund-14.99%25.1012.706.50-1.38Market-27.50%19.8010.307.60Jensen's alphaInformation ratio)Risk-Free1%I2Calculate 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 4decimal places.

When the expected returns of the portfolio as per the CAPM is deducted from the portfolio returns,…

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 0.91 Year 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.00 -1.38 Market -27.50% 19.00 Jensen's alpha Information ratio 10.30 7.60 -2.20 Risk-Free IN 5 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 0.91 Year 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.00 -1.38 Market -27.50% 19.00 Jensen's alpha Information ratio 10.30 7.60 -2.20 Risk-Free IN 5 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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