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 | 14.85 | % | 29.5 | % | 3 | % |
| 2009 | 25.1 | 20.0 | 5 | |||
| 2010 | 12.9 | 10.9 | 2 | |||
| 2011 | 7.2 | 8.0 | 5 | |||
| 2012 | 1.50 | 3.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund?
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International Trade Finance
Authors: Indian Institute Of Banking & Finance
1st Edition
9386394723, 978-9386394729
