Please don't use Ai solution 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 0.96.Year2018Fund-14.85%Market-29.50%Risk-Free3%201925.1020.005202012.9010.90220217.202022-1.508.00-3.2053Calculate 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.Jensen's alphaInformation ratio%

Jensen's Alpha Formula:α=Rf+β(Rm−Rf)−RpWhere:Rp: Fund returnRm: Market returnRf: Risk-free rateβ:…

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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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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 0.97. Year 2018 Fund -16.4% Market -32.5% Risk-Free 3% 2019 25.1 20.3 4 2020 13.2 11.8 2 2021 2022 6.2 -1.68 8.0 -3.2 5 3 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Sharpe ratio Treynor ratio 4
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 0.87. Year 2018 2019 2020 2021 2022 Fund -14.85% 25.10 12.90 7.20 -1.50 Market -29.50% 20.00 10.90 8.00 -3.20 Jensen's alpha Information ratio. Risk-Free 3% 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. (0.0072)
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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 0.89. Year 2018 Fund -21.20% Market -40.50% Risk-Free 2% 2019 25.10 21.10 4 2020 14.00 14.20 2 2021 6.20 2022 -2.16 8.80 -5.20 4 3 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. Jensen's alpha Information ratio %
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