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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.
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 2008 2009 2010 2011 2012 Fund 22.40% 25.1 14.2 6.6 2.28 Market Risk-Free -42.5% 21.3 14.8 8.8 5.2 3% 5 2 6 3 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)Step by Step Solution
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