Question
Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund
| Consider the following 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 | |||
| 2008 | 21.80 | % | 41.5 | % | 3 | % |
| 2009 | 25.1 | 21.2 | 4 | |||
| 2010 | 14.1 | 14.5 | 2 | |||
| 2011 | 6.4 | 8.8 | 4 | |||
| 2012 | 2.22 | 5.2 | 3 | |||
| What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) |
| Sharpe ratio | |
| Treynor ratio | |
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The Money Markets Handbook A Practitioners Guide
Authors: Moorad Choudhry
1st Edition
0470821507, 978-0470821503
