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

You have been given the following return information for a mutual fund,

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 Fund -23.6% Market -44.5% Risk-Free 1% 2019 25.1 21.5 3 2020 14.4 15.4 2 2021 2022 7.0 -2.4 9.2 -6.2 6 2 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Sharpe ratio Treynor ratio

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!

At the given instant, the rod is spinning about the z axis with an angular velocity 1 = 8rad/s and angular acceleration 1 = 2 rad/s 2 . At this same instant, the disk is spinning at a constant rate...

A product is dropped and hits the ground going 4 m / s . It experiences an acceleration a = - kx , where x is the compression of the packing material surrounding it . Given that maximum packing...

Thomas R. Kratochwill. University of Wisconsin-Madison. Joel R. Levin. University of Arizona. "Enhancing the scientific credibility of single case intervention research: Randomization to the rescue"....

Family Security is considering introducing tiny GPS trackers that can be inserted in the sole of a child's shoe, which would then allow for the tracking of that child if he or she was ever lost or...

6 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...

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...

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.95....

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....

Explain the difference between proactiveness and competitive aggressiveness in terms of achieving and sustaining competitive advantage.

Suppose the interest rate on is 12% in London, and the interest rate on a comparable dollar investment in New York is 7%. The spot rate is $1.75 and the one-year forward rate is $ 1.68. Are there...

integral x / square root x ^ 2 - 2 x + 1 0 dx

Multiple Choice Questions The following questions deal with types of audits and auditors. Choose the best response. a. Operational audits generally have been conducted by internal auditors and...

At the end of fiscal year 2017, the City of Columbus General Fund pre-adjusting trial balance showed the following balances for operating and budgetary accounts and fund balance accounts. The City of...

On January 1, 2014, Plate Company purchased a 90% interest in the common stock of Set Company for $650,000, an amount $20,000 in excess of the book value of equity acquired. The excess relates to the...

The stock of the Health Corporation is currently selling for $20 a share and is expected to pay a $1 dividend at the end of the year. If you bought the stock now and sold it for $23 after receiving...

Using the information in E10-3, assume that in July 2014, Thome Company incurs the following manufacturing overhead costs. Instructions (a) Prepare a flexible budget performance report, assuming that...

Determine if the overhead allocated to the product relates to a single plantwide overhead rate method, multiple production department factory overhead rate method, or activity-based costing...

14. If you have a negatively skewed distribution then the extended tail points towards: a) The higher numbers b) The lower numbers c) Neither the high or low numbers d) None of the above

15. What is the probability of 0.0125 as a percentage? a) 0.0125% b) 0.125% c) 1.25% d) 12.5%

13. Which of the following is a standardised measure of effect size? a) r2 b) Cohens d c) Criterion for significance d) Both a) and b) above