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 .95.
| Year | Fund | Market | Risk-Free | |||
| 2008 | 23.00 | % | 43.5 | % | 3 | % |
| 2009 | 25.1 | 21.4 | 5 | |||
| 2010 | 14.3 | 15.1 | 2 | |||
| 2011 | 6.8 | 8.8 | 6 | |||
| 2012 | 2.34 | 5.2 | 2 | |||
Calculate Jensens alpha for the fund, as well as its information ratio.
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Contemporary Auditing
Authors: Michael C. Knapp
8th edition
978-0538466790, 538466790, 978-1285066608
