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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 0.93.
Year | Fund | Market | Risk-Free | |||
2011 | 15.06 | % | 26.50 | % | 3 | % |
2012 | 25.10 | 19.70 | 5 | |||
2013 | 12.60 | 10.00 | 2 | |||
2014 | 6.60 | 7.60 | 4 | |||
2015 | 1.32 | 2.20 | 3 | |||
Calculate Jensens alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)
Jensens alpha %
Information ratio
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