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 .96. Year Fund 2015 -14.92% Market -28.50% Risk-Free 2% 2016 25.10 19.90 2017 12.80 10.60 2018 7.00 2019 -1.44 7.60 -2.20 4252 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Jensen's alpha Information ratio %
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 .96. Year Fund 2015 -14.92% Market -28.50% Risk-Free 2% 2016 25.10 19.90 2017 12.80 10.60 2018 7.00 2019 -1.44 7.60 -2.20 4252 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Jensen's alpha Information ratio %
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
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 correlation between the fund and the
market is .96.
Year
Fund
2015
-14.92%
Market
-28.50%
Risk-Free
2%
2016
25.10
19.90
2017
12.80
10.60
2018
7.00
2019
-1.44
7.60
-2.20
4252
Calculate Jensen's alpha for the fund, as well as its information
ratio. (Do not round intermediate calculations. Enter the alpha
as a percent rounded to 2 decimal places. Round the ratio to 4
decimal places.)
Jensen's alpha
Information ratio
%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F6d95ab75-3767-4588-b96f-9fdcbadb0df4%2F8c18fa69-eaf1-4658-859a-10eb68f428d6%2Fcsuv545_processed.jpeg&w=3840&q=75)
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 .96.
Year
Fund
2015
-14.92%
Market
-28.50%
Risk-Free
2%
2016
25.10
19.90
2017
12.80
10.60
2018
7.00
2019
-1.44
7.60
-2.20
4252
Calculate Jensen's alpha for the fund, as well as its information
ratio. (Do not round intermediate calculations. Enter the alpha
as a percent rounded to 2 decimal places. Round the ratio to 4
decimal places.)
Jensen's alpha
Information ratio
%
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