Calculate Jensen's alpha for the fund, as well as its information ratio. You have been given the

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Calculate Jensen's alpha for the fund, as well as its 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 .97.

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Related Book For answer-question

Fundamentals of Investments Valuation and Management

ISBN: 978-0078115660

7th edition

Authors: Bradford Jordan, Thomas Miller

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Question Posted: Nov 18, 2016 09:30 AM

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Calculate Jensen's alpha for the fund, as well as its information ratio. You have been given the

Question:

Fund Risk-Free Year 2008-15.2% 2009 2010 2011 2012 Market -24.5% 19.5 9.4 7.6 2.2 1% 25.1 12.4 6.2 4

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Given Data Year Fund Market Riskfree Fund Excess Market Excess Difference 2...View the full answer

Fundamentals of Investments Valuation and Management

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