Answered step by step
Verified Expert Solution
Link Copied!

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 0.89.

Year Fund Market Risk-Free
2008 -17.6 % -34.5 % 2 %
2009 25.1 20.5 4
2010 13.4 12.4 2
2011 6.6 8.4 5
2012 -1.8 -4.2 3

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

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Handbook Of Digital Media And Communication

Authors: Leah Lievrouw ,Brian Loader

1st Edition

036761233X, 978-0367612337

More Books

Students also viewed these Finance questions