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 | -16.4% | -32.5% | 3% |
| 2016 | 25.1 | 20.3 | 4 |
| 2017 | 13.2 | 11.8 | 2 |
| 2018 | 6.2 | 8.0 | 5 |
| 2019 | -1.68 | -3.2 | 3 |
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
| Sharpe ratio | ? |
| Treynor Ratio | ? |
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Fundamentals Of Futures And Options Markets
Authors: Jonn C. Hull
8th International Edition
0133382850, 9780133382853
