Question
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 .97.
| Year | Fund | Market | Risk-Free | |||
| 2015 | 22.4 | % | 42.5 | % | 3 | % |
| 2016 | 25.1 | 21.3 | 5 | |||
| 2017 | 14.2 | 14.8 | 2 | |||
| 2018 | 6.6 | 8.8 | 6 | |||
| 2019 | 2.28 | 5.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund?
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A Guide To Starting Your Hedge Fund
Authors: John Thompson, Erik Serrano Berntsen
1st Edition
0470519401, 978-0470519400
