Finance Consider the following 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 0.89. Year Fund Market Risk-Free 2008 -21.2 % -40.5 % 2 % 2009 25.1 21.1 4 2010 14 14.2 2 2011 6.2 8.8 4 2012 -2.16 -5.2 3 What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) Treynor ratio 2. Refer to the table below. 3 Doors, Inc. Down Co. Expected return, E (R) 16 % 9.5 % Standard deviation, σ 31 19 Correlation .40 Using the information provided on the two stocks in the table above, find the expected return and standard deviation on the minimum variance portfolio. (Round your answer to 2 decimal places. Omit the "%" sign in your response.) Expected Return % Expected return 3. Consider the following 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 0.91. Year Fund Market Risk-Free 2008 -14.99 % -27.5 % 1 % 2009 25.1 19.8 5 2010 12.7 10.3 2 2011 6.8 7.6 4 2012 -1.38 -2.2 3 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.) Jensen’s alpha % Information ratio
Finance Consider the following 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 0.89. Year Fund Market Risk-Free 2008 -21.2 % -40.5 % 2 % 2009 25.1 21.1 4 2010 14 14.2 2 2011 6.2 8.8 4 2012 -2.16 -5.2 3 What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) Treynor ratio 2. Refer to the table below. 3 Doors, Inc. Down Co. Expected return, E (R) 16 % 9.5 % Standard deviation, σ 31 19 Correlation .40 Using the information provided on the two stocks in the table above, find the expected return and standard deviation on the minimum variance portfolio. (Round your answer to 2 decimal places. Omit the "%" sign in your response.) Expected Return % Expected return 3. Consider the following 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 0.91. Year Fund Market Risk-Free 2008 -14.99 % -27.5 % 1 % 2009 25.1 19.8 5 2010 12.7 10.3 2 2011 6.8 7.6 4 2012 -1.38 -2.2 3 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the "%" sign in your response.) 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
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Finance
Consider the following 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 0.89.
| Year | Fund | Market | Risk-Free | |||
| 2008 | -21.2 | % | -40.5 | % | 2 | % |
| 2009 | 25.1 | 21.1 | 4 | |||
| 2010 | 14 | 14.2 | 2 | |||
| 2011 | 6.2 | 8.8 | 4 | |||
| 2012 | -2.16 | -5.2 | 3 | |||
| What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) |
|
Treynor ratio 2. Refer to the table below.
Expected Return %
|
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