Finance Consider the following 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 0.89. Year Fund Market Risk-Free 2008 -21.2 % -40.5 % 2 % 2009 25.1 21.1 4 2010 14 14.2 2 2011 6.2 8.8 4 2012 -2.16 -5.2 3 What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) Treynor ratio 2. Refer to the table below. 3 Doors, Inc. Down Co. Expected return, E (R) 16 % 9.5 % Standard deviation, σ 31 19 Correlation .40 Using the information provided on the two stocks in the table above, find the expected return and standard deviation on the minimum variance portfolio. (Round your answer to 2 decimal places. Omit the "%" sign in your response.) Expected Return % Expected return 3. Consider the following 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 2008 -14.99 % -27.5 % 1 % 2009 25.1 19.8 5 2010 12.7 10.3 2 2011 6.8 7.6 4 2012 -1.38 -2.2 3 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.) Jensen’s alpha % Information ratio

PFIN (with PFIN Online, 1 term (6 months) Printed Access Card) (New, Engaging Titles from 4LTR Press)

6th Edition

ISBN:9781337117005

Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Chapter13: Investing In Mutual Funds, Etfs, And Real Estate

Section: Chapter Questions

Problem 8FPE

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Finance

Consider the following 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 0.89.

Year	Fund	Market	Risk-Free

2008	-21.2	%	-40.5	%	2	%
2009	25.1		21.1		4
2010	14		14.2		2
2011	6.2		8.8		4
2012	-2.16		-5.2		3

What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.)

Treynor ratio

Refer to the table below.

	3 Doors, Inc.		Down Co.

Expected return, E (R)	16	%		9.5	%
Standard deviation, σ	31			19
Correlation			.40

Using the information provided on the two stocks in the table above, find the expected return and standard deviation on the minimum variance portfolio. (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Expected Return %

Expected return

Consider the following 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

2008	-14.99	%	-27.5	%	1	%
2009	25.1		19.8		5
2010	12.7		10.3		2
2011	6.8		7.6		4
2012	-1.38		-2.2		3

Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.)

Jensen’s alpha	%
Information ratio

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