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? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
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A Course In Derivative Securities
Authors: Kerry Back
2005th Edition
3540253734, 978-3540253730
