Calculate Jensens alpha for the fund, as well as its information ratio. You have been given the

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Calculate Jensen€™s alpha for the fund, as well as its information ratio.

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 .97.

Year Fund Market Risk-Free -15.2% 2011 -24.5% 1% 2012 25.1 19.5 9.4 2013 12.4 2014 6.2 7.6 4 -2.2 2015 -1.2 2

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Fundamentals of Investments, Valuation and Management

ISBN: 978-1259720697

8th edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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Question Posted: Nov 15, 2018 10:17 AM

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Calculate Jensens alpha for the fund, as well as its information ratio. You have been given the

Question:

Year Fund Market Risk-Free -15.2% 2011 -24.5% 1% 2012 25.1 19.5 9.4 2013 12.4 2014 6.2 7.6 4 -2.2 2015 -1.2 2

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First find the average returns of the fund the market and the risk fr...View the full answer

Fundamentals of Investments, Valuation and Management

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