
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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Vijay

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 0.97.
Year
2018
2019
2020
2021
2022
Fund
-19.4%
25.1
13.7
7.2
-1.98
Sharpe ratio
Treynor ratio
Market
-37.5%
20.8
13.3
8.4
-4.2
Risk-Free
1%
4
2
6
2
What are the Sharpe and Treynor ratios for the fund?
Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
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