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

image text in transcribed

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 0.91. Year Risk- Fund Market Free 2008 2009 2010 2011 2012 -17% 33.5% 25.1 20.4 13.3 12.1 6.4 8 -1.74 -3.2 WUN ON 2% 6 2 5 3 Calculate Jensen's alpha for the fund, as well as its information ratio. (Round your Jensen's alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.) Jensen's alpha Information ratio 3.68 % .6272

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_2

Step: 3

blur-text-image_3

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

Inside And Outside Liquidity

Authors: Bengt Holmstroem, Jean Tirole

1st Edition

0262518538, 9780262518536

More Books

Students also viewed these Finance questions

Question

How would you typify the trends of trade unionism internationally?

Answered: 1 week ago