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 | 20.60 | % | 39.5 | % | 1 | % |
| 2009 | 25.1 | 21.0 | 3 | |||
| 2010 | 13.9 | 13.9 | 2 | |||
| 2011 | 7.6 | 8.8 | 4 | |||
| 2012 | 2.10 | 5.2 | 2 | |||
| What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers 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
Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
