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 0.97.
| Year | Fund | Market | Risk-Free | |||
| 2011 | 17.0 | % | 33.5 | % | 2 | % |
| 2012 | 25.1 | 20.4 | 6 | |||
| 2013 | 13.3 | 12.1 | 2 | |||
| 2014 | 6.4 | 8.0 | 5 | |||
| 2015 | 1.74 | 3.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund?
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Financial Statement Analysis
Authors: Charles H. Gibson
13th International Edition
1133189407, 9781133189404
