

You have been given the following return information for a mutual fund, the market index, and...
8. 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. Risk-Free 2% Year 2011 2012 2013 2014 2015 Fund -15.13% 25.1 12.5 6.4 -1.26 Market -25.5% 19.6 9.7 7.6 -2.2 که ن What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers 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 0.97 Risk-F Year 2011 2012 2013 2014 Fund -16.4 25.1 13.2 Market -32.5 20.3 2015 -1.68 What are the Sharpe and Treynor ratios for the fund? (Do not round Intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor 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 0.97. Risk-Free Year 2011 2012 2013 2014 2015 Fund -17.68 25.1 13.4 6.6 -1.8 Market -34.5% 20.5 12.4 8 .4 -4.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor 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 0.97. Year Fund Market Risk-Free 2011 –20.6 % –39.5 % 1 % 2012 25.1 21.0 3 2013 13.9 13.9 2 2014 7.6 8.8 4 2015 –2.1 –5.2 2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to...
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. Risk-Free Year 2011 2012 2013 2014 2015 Fund -19.40% 25.10 13.70 7.20 -1.98 Market -37.50% 20.80 13.30 8.40 -4.20 NON 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...
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 0.87. Year Fund Market Risk-Free 2011 –14.85 % –29.50 % 3 % 2012 25.10 20.00 5 2013 12.90 10.90 2 2014 7.20 8.00 5 2015 –1.50 –3.20 3 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the...
Problem 2 Risk-free rate is 4%. Expected return on actively managed fund P is 16%, expected return on the market index is 12%. Standard deviation of the fund is 20%, and standard deviation of the index is 17%. Beta of the fund is 0.73. Calculate Sharpe ratio of the market index and of fund P. Does the fund beat the market? Calculate Treynor measure of the market index and of fund P. Does the fund beat the market? Calculate the...
In 2011-2015, mutual fund manager, Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. 2011 2012 2013 2014 2015 Fund −1.5 +23.7 +41.6 +10.6 +0.6 Market index −0.6 +18.0 +31.1 +11.9 −0.4 Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each.
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP 13.0% 12.0 7.0 10.1 5.0 op 30% 25 15 20 Bp 1.30 1.10 0.75 1.00 Market Risk-free 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your ratio answers...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP 15.5% 14.5 7.4 11.7 7.0 Op 36% 31 21 26 0 Bp 1.35 1.15 0.60 1.00 Market Risk-free 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your ratio...