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 return

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 0.95.

Year Fund Market Risk-Free
2011 15.13 % 25.50 % 2 %
2012 25.10 19.60 4
2013 12.50 9.70 2
2014 6.40 7.60 4
2015 1.26 2.20 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.)

Jensen's Alpha _______%

Information 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!

Q:

The Gilster Company The Gilster Company, a machine tooling firm, has several plants. One plant, located in St. Cloud. Minnesota, uses a job order costing system for its batch production processes....

Q:

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...

Q:

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....

Q:

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 98. Year...

Q:

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....

Q:

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 . 9...

Q:

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 . 9...

Q:

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....

Q:

Problem 13-19 Performance Metrics (L01, 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...

Q:

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....

Q:

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....

Q:

The SPENCER CAR SERVICE is considering the purchase of a luxury limo at a cost of $500,000. The estimated life of the limo is 10 years with an estimated salvage value of $0.00. Straight-line...

Q:

How many grams of 50 wt% NaOH (FM 40.00) should be diluted to 1.00 L to make 0.10 M NaOH? (Answer with two digits.)

Q:

A partial amortization schedule for a note payable with interest paid annually that was issued on January 1 year is a what is the annual rate of interest changed

Q:

Draw a class diagram and its relationship based on the following statements. You can use any UML tool/software to represent your class diagram. Do NOT copy and paste your diagram, use the attachment...