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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 0.87. |
Year | Fund | Market | Risk-Free | |||
2008 | -21.8 | % | -41.5 | % | 3 | % |
2009 | 25.1 | 21.2 | 4 | |||
2010 | 14.1 | 14.5 | 2 | |||
2011 | 6.4 | 8.8 | 4 | |||
2012 | -2.22 | -5.2 | 3 | |||
Calculate Jensens alpha for the fund, as well as its information ratio. (Round your Jensens alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.) |
Jensens alpha | % |
Information ratio |
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