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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 0.95.

Year Fund Market Risk-Free
2008 -15.13 % -25.5 % 2 %
2009 25.1 19.6 4
2010 12.5 9.7 2
2011 6.4 7.6 4
2012 -1.26 -2.2 3

Calculate Jensen

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