Question: You are given the following monthly return data over the past 12 months on a mutual fund and its benchmark. Returns are expressed in decimal.

You are given the following monthly return data over the past 12 months on a mutual fund and its benchmark. Returns are expressed in decimal.

You have additional information:

Annualized risk-free rate: 0.066 (i.e., 6.6%)

Beta of the mutual fund: 1.1

Beta of the benchmark: 1.0

Calculate the Treynor ratio of the mutual fund and the benchmark, respectively.

month 1 2 3 4 5 6 7 8 9 10 11 12
mutual fund 0.011 0.008 0.054 0.002 -0.015 0.060 0.046 0.048 0.058 -0.008 -0.042 0.030
benchmark -0.013 -0.015 0.061 -0.007 0.035 0.014 0.035 0.038 0.046 -0.005 -0.046 0.003

Mutual fund: 0.3917; Benchmark: 0.0541

Mutual fund: 0.1907; Benchmark: 0.0071

Mutual fund: 0.2076; Benchmark: 0.0941

Mutual fund: 0.1907; Benchmark: 0.0841

Mutual fund: 0.2307; Benchmark: 0.0784

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 Finance Questions!