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 | 14.99 | % | 27.5 | % | 1 | % |
| 2012 | 25.1 | 19.8 | 5 | |||
| 2013 | 12.7 | 10.3 | 2 | |||
| 2014 | 6.8 | 7.6 | 4 | |||
| 2015 | 1.38 | 2.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund?
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Authors: Frank K. Reilly, Keith C. Brown
6th Edition
003025809X, 978-3540014386
