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 2015 2016 2017 2018 2019 Fund -20.0% 25.1 13.8 7.4 -2.04 Sharpe ratio Treynor ratio Market -38.5% 20.9 13.6 8.4 -4.2 Risk-Free 1% 4 2 6 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)

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Chapter13: Investing In Mutual Funds, Etfs, And Real Estate
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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 correlation between the fund and the market is .97.
Year
2015
2016
2017
2018
2019
Fund
-20.0%
25.1
13.8
7.4
-2.04
Sharpe ratio
Treynor ratio
Market
-38.5%
20.9
13.6
8.4
-4.2
Risk-Free
1%
4
2
6
2
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal
places.)
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 .97. Year 2015 2016 2017 2018 2019 Fund -20.0% 25.1 13.8 7.4 -2.04 Sharpe ratio Treynor ratio Market -38.5% 20.9 13.6 8.4 -4.2 Risk-Free 1% 4 2 6 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
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