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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 | 20.60 | % | 39.5 | % | 1 | % |
2009 | 25.1 | 21.0 | 3 | |||
2010 | 13.9 | 13.9 | 2 | |||
2011 | 7.6 | 8.8 | 4 | |||
2012 | 2.10 | 5.2 | 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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