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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 0.91.
Year | Fund | Market | Risk-Free | |||
2008 | -14.99 | % | -27.5 | % | 1 | % |
2009 | 25.1 | 19.8 | 5 | |||
2010 | 12.7 | 10.3 | 2 | |||
2011 | 6.8 | 7.6 | 4 | |||
2012 | -1.38 | -2.2 | 3 | |||
Calculate Jensens alpha for the fund, as well as its information ratio. (Round your Jensens alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.) |
Jensens alpha | % |
Information ratio | % |
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