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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 0.91.
Year Fund Market Risk-Free
2018 20.60% 39.50% 1%
2019 25.10 21.00 3
2020 13.90 13.90 2
2021 7.60 8.80 4
2022 2.10 5.20 2
Calculate Jensens alpha for the fund, as well as its information ratio.
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