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You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return
You have been given the following return 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 0.97.
Year | Fund | Market | Risk-Free | |||
2011 | 18.2 | % | 35.5 | % | 2 | % |
2012 | 25.1 | 20.6 | 5 | |||
2013 | 13.5 | 12.7 | 2 | |||
2014 | 6.8 | 8.4 | 6 | |||
2015 | 1.86 | 4.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund?
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