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. Year 2018 Fund -15.80% Market -31.50% Risk-Free 3% 2019 25.10 20.20 5 2020 13.10 11.50 2 2021 7.60 2022 -1.62 8.00 -3.20 5 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: 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 0.95. Year 2018 Fund -15.80% Market -31.50% Risk-Free 3% 2019 25.10 20.20 5 2020 13.10 11.50 2 2021 7.60 2022 -1.62 8.00 -3.20 5 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: 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 %
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 5P
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