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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 .97.
Year | Fund | Market | Risk-Free | |||
2008 | 15.20 | % | 30.5 | % | 3 | % |
2009 | 25.1 | 20.1 | 4 | |||
2010 | 13.0 | 11.2 | 2 | |||
2011 | 7.4 | 8.0 | 5 | |||
2012 | 1.56 | 3.2 | 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 | |
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