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 .97.

Year Fund Market Risk-Free
2015 -16.4% -32.5% 3%
2016 25.1 20.3 4
2017 13.2 11.8 2
2018 6.2 8.0 5
2019 -1.68 -3.2 3

What are the Sharpe and Treynor ratios for the fund? (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!

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:

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-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 . 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:

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:

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:

Selenium, an element used in the manufacture of solar energy devices, forms an oxide that contains only one atom of selenium (per formula unit) and is 37.8% oxygen by mass. What is the molecular...

Q:

The microwave spectrum of 13C160 shows the first four absorptions at the following wavenumbers (cm-): 3.673, 7.345, 11.018, 14.690 (a) Explain the general form of this spectrum by considering the...

Q:

1. Which register (in 32-bit mode) manages the stack?

Q:

Dean C . Ludwig and Clinton O . Longnecker analyze "the Bathsheba Syndrome": the tendency for leaders to make ethical errors when they become too enamored of their own success. They provide a helpful...

Q:

Know the specific kinds of questions that can and cannot legally be asked in an employment interview

Q:

Know how to recognize and apply methods useful when probing for additional information that could be helpful in arriving at an employment decision

Q:

Discuss the objectives of discipline and appeals systems