Answered step by step
Verified Expert Solution
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 0.93. |
Year | Fund | Market | Risk-Free | |||
2008 | -20 | % | -38.5 | % | 1 | % |
2009 | 25.1 | 20.9 | 4 | |||
2010 | 13.8 | 13.6 | 2 | |||
2011 | 7.4 | 8.4 | 6 | |||
2012 | -2.04 | -4.2 | 2 | |||
What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) |
Sharpe ratio | |
Treynor ratio |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started