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 .95.

Year Fund Market Risk-Free
2008 15.80 % 31.5 % 3 %
2009 25.1 20.2 5
2010 13.1 11.5 2
2011 7.6 8.0 5
2012 1.62 3.2 3

Calculate Jensens alpha for the fund, as well as its information ratio.(Do not round intermediate calculations. Round your Jensens alpha answer to 2 decimal placesand Information ratio answer to 4 decimal places.Omit the "%" sign in your response.)

Jensens alpha %
Information 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

Basic Finance An Introduction To Financial Institutions, Investments, And Management

Authors: Herbert B. Mayo

12th Edition

1337691011, 978-1337691017

More Books

Students also viewed these Finance questions

Question

2. Ask questions, listen rather than attempt to persuade.

Answered: 1 week ago