Problem $23-7$

The following data is reported for a fund and an appropriate benchmark as well as the risk$-$free rate each year:

Fund Return Benchmark Return Risk$-$free rate

Year $110\%7\%2\%$

Year $224\%21\%2\%$

Year $326\%23\%2\%$

Year $429\%24\%2\%$

Year $529\%23\%2\%$

Year $630\%23\%2\%$

Year $721\%19\%2\%$

Year $819\%17\%2\%$

Year $916\%14\%2\%$

Year $1014\%13\%2\%$

Required:

a$.$ What is the Sharpe ratio for the fund and the benchmark?

b$.$ What is the Treynor ratio for the fund and the benchmark?

c$.$ What is the fund tracking error?

d$.$ What is the beta for the fund?

e$.$ What is Jensen$$s alpha for the fund?