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
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