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 | 18.20 | % | 35.5 | % | 2 | % |
| 2009 | 25.1 |
| 20.6 |
| 5 |
|
| 2010 | 13.5 |
| 12.7 |
| 2 |
|
| 2011 | 6.8 |
| 8.4 |
| 6 |
|
| 2012 | 1.86 |
| 4.2 |
| 3 |
|
| What are the Sharpe and Treynor ratios for the fund? |
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The Emerald Handbook On Cryptoassets Investment Opportunities And Challenges
Authors: H. Kent Baker, Hugo Benedetti, Ehsan Nikbakht, Sean Stein Smith
1st Edition
1804553212, 978-1804553213
