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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 0.91. 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
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