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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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