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Problem 13-19

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 -15.20% -24.50% 1%

2009 25.10% 19.50% 3%

2010 12.40% 9.40% 2%

2011 6.20% 7.60% 4%

2012 -1.20% -2.20% 2%

What are the Sharpe and Treynor ratios for the fund?

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Calculate Jensens alpha for the fund, as well as its information ratio.

I have the correct answers - I need to know EXACTLY how to calculate these.

Answers

Sharpe: 0.2034

Treynor: 0.035

Jensen's alpha: 3.45

Information Ratio: 0.8321