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 -15.20% 25.10 13.00 7.40 -1.56 Market -30.50% 20.10 11.20 8.00 -3.20 Jensen's alpha Information ratio 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 decimal places. Risk-Free 3% Answer is not complete. 3.77 %
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 -15.20% 25.10 13.00 7.40 -1.56 Market -30.50% 20.10 11.20 8.00 -3.20 Jensen's alpha Information ratio 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 decimal places. Risk-Free 3% Answer is not complete. 3.77 %
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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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 0.97.
Year
2018
2019
2020
2021
2022
Fund
-15.20%
25.10
13.00
7.40
-1.56
Market
-30.50%
20.10
Jensen's alpha
Information ratio
11.20
8.00
-3.20
Risk-Free
3%
4
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.
Answer is not complete.
3.77 %](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F6d999cf7-cd4b-4a88-9b76-bbc25e621044%2F5e5a523b-7b8f-426c-a6f2-5488c00f3517%2Fm6gamsq_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 0.97.
Year
2018
2019
2020
2021
2022
Fund
-15.20%
25.10
13.00
7.40
-1.56
Market
-30.50%
20.10
Jensen's alpha
Information ratio
11.20
8.00
-3.20
Risk-Free
3%
4
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.
Answer is not complete.
3.77 %
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