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 0.95. Year 2018 2019 2020 2021 2022 Fund -23.00% 25.10 14.30 6.88 -2.34 Market -43.50% 21.40 Jensen's alpha Information ratio 15.10 8.80 -5.20 Risk-Free 34 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. %
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 0.95. Year 2018 2019 2020 2021 2022 Fund -23.00% 25.10 14.30 6.88 -2.34 Market -43.50% 21.40 Jensen's alpha Information ratio 15.10 8.80 -5.20 Risk-Free 34 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. %
Essentials of Business Analytics (MindTap Course List)
2nd Edition
ISBN:9781305627734
Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Chapter5: Probability: An Introduction To Modeling Uncertainty
Section: Chapter Questions
Problem 30P: Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of...
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Transcribed Image Text: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 0.95.
Year
2018
2019
2020
2021
2022
Fund
-23.00%
25.10
14.30
6.80
-2.34
Market
-43.50%
21.40
Jensen's alpha
Information ratio
15.10.
8.80
-5.20
Risk-Free
3%
5
2
6
2
Calculate Jensen's alpha for the fund, as well as its information ratio.
Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4
decimal places.
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