Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

The Handbook Of Credit Portfolio Management

Authors: Greg Gregoriou, Christian Hoppe

1st Edition

0071598340, 978-0071598347

More Books

Students also viewed these Finance questions