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
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 2015 Fund -18.8% Market -36.5% Risk-Free 1% 2016 25.1 20.7 6 2017 13.6 13.0 2 2018 2019 7.0 -1.92 8.4 -4.2 6 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
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Fundamentals of Investments, Valuation and Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
8th edition
1259720697, 1259720691, 1260109437, 9781260109436, 978-1259720697
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