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 Fund Market Risk-Free 2018 15.13% -25.5% 2% 2019 25.1 2020 12.5 2021 6.4 19.6 9.7 7.6 4 2 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 0.97. Year Fund Market Risk-Free 2018 15.13% -25.5% 2% 2019 25.1 2020 12.5 2021 6.4 19.6 9.7 7.6 4 2 4
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 Fund Market Risk-Free
2018 15.13% -25.5% 2%
2019 25.1
2020 12.5
2021 6.4
2022 -1.26
19.6
9.7
7.6
4
2
4
-2.2 3
What are the Sharpe and Treynor ratios for the fund?
Note: Do not round intermediate calculations. Round your answers to 4 decimal
places.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F0515d6e7-7ac0-43ac-9801-6a6cb1fcfc96%2Ff6a55c69-95cc-45d5-bef3-9f8be31093e3%2F8vswhvp_processed.png&w=3840&q=75)
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 0.97.
Year Fund Market Risk-Free
2018 15.13% -25.5% 2%
2019 25.1
2020 12.5
2021 6.4
2022 -1.26
19.6
9.7
7.6
4
2
4
-2.2 3
What are the Sharpe and Treynor ratios for the fund?
Note: Do not round intermediate calculations. Round your answers to 4 decimal
places.
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