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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 0.95.
Year Fund Market Risk-Free 2011 23.00 % 43.50 % 3 %
2012 25.10 21.40 5
2013 14.30 15.10 2
2014 6.80 8.80 6
2015 2.34 5.20 2
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.)
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