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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 | 18.80 | % | 36.5 | % | 1 | % |
2009 | 25.1 | 20.7 | 6 | |||
2010 | 13.6 | 13.0 | 2 | |||
2011 | 7.0 | 8.4 | 6 | |||
2012 | 1.92 | 4.2 | 2 | |||
Calculate Jensens alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Round your Jensens alpha answer to 2 decimal places and Information ratio answer to 4 decimal places. Omit the "%" sign in your response.) |
Jensens alpha | % |
Information ratio |
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