Question: Problem 13-20 Jensen's Alpha (LO1, CFA7) You have been given the following return information for a mutual fund, the market index, and the risk-free rate.

Problem 13-20 Jensen's Alpha (LO1, CFA7)

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.

Year Fund Market Risk-Free
2015 22.40 % 42.50 % 3 %
2016 25.10 21.30 5
2017 14.20 14.80 2
2018 6.60 8.80 6
2019 2.28 5.20 3

Calculate Jensens alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Accounting Questions!

Q:

Following are the results of consolidated-undrained triaxial tests on undisturbed soils retrieved from a 4-m-thick saturated clay layer in the field (γsat = 19 kN/m3). a. Estimate...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

You have been given the following return information for a mutual fund, the market index, and the risk-fee rate. You also know that the return correlation between the fund and the market is 0.97....

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Problem 13-20 Jensen's Alpha (LO1, CFA7) 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...

Q:

Jones is suspected of carrying out a fraud while working for his employer. Jones has worked for the employer for several years. The fraud is suspected to have begun in 2013 and possibly continued in...

Q:

The paper Portable Social Groups: Willingness to Communicate, Interpersonal Communication Gratifications, and Cell Phone Use among Young Adults (International Journal of Mobile Communications [2007]:...

Q:

Find the imit. Use THaspital's Rule where appropriate. If there is a more elementary method, consider using it . lim x 2 5 x 2 - 5 x - 2 5

Q:

How does Snowdens identity as an employee conflict with his identity as a citizen? Which may be the relevant values in conflict here?

Q:

What is the purpose of load-pacing gear? Describe one form of load-pacing gear and explain its principle of operation.

Q:

Matchpoint is considering producing a low-pressure ball, suited for high altitudes, called the special duty. Each gross of special duty balls would require 1 and man-hours of manufacturing and...

Q:

What effect does height have on weight for a sample of 8 children? X (Height in Y (Weight x2 XY in pounds) inches) 99 60 48 80 55 79 55 84 51 90 52 82 49 79 50 70 n

Q:

As a tax practitioner, you often get people asking questions concerning the tax effect of property transactions. This year is no exception. You've had individual clients ask you the following...

Q:

Evaluare the impact of the teammates performance outcomes this year in relation th their established goals and organizional strategic objectives

Q:

Reflect critically on your use of literature in previous assignments. To what extent have you relied on ideas derived from other places (usually textbooks)?

Q:

Why is it important to analyse the credentials of authors that you read and cite? a To ensure only academically qualified sources are used. b In case your tutor asks you a question about your...

Q:

Which of the following is an academic database? a People Management b European Journal of Training and Development c Ingenta Connect d www.acas.org.uk