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 | 15.2 | % | 30.5 | % | 3 | % |
| 2016 | 25.1 | 20.1 | 4 | |||
| 2017 | 13.0 | 11.2 | 2 | |||
| 2018 | 7.4 | 8.0 | 5 | |||
| 2019 | 1.56 | 3.2 | 2 | |||
What are the Sharpe and Treynor ratios for the fund?
Sharpe=
Treynor=
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Intermediate Accounting IFRS
Authors: Donald E. Kieso, Jerry J. Weygandt, Terry D. Warfield
3rd edition
978-1119372936
