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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 0.97.
Year | Fund | Market | Risk-Free | |||
2011 | 18.80 | % | 36.50 | % | 1 | % |
2012 | 25.10 | 20.70 | 6 | |||
2013 | 13.60 | 13.00 | 2 | |||
2014 | 7.00 | 8.40 | 6 | |||
2015 | 1.92 | 4.20 | 2 | |||
Calculate Jensens alpha for the fund, as well as its information ratio.
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