Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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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 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Sharpe ratio Market -24.5% 19.5 9.4 7.6 -2.2 Treynor ratio What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) X Answer is complete but not entirely correct. Risk-Free 1% 3 0.2273 x 2 4 2 3.4773 X
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Transcribed Image Text: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 2011 2012 2013 2014 2015 Fund -15.2% 25.1 12.4 6.2 -1.2 Sharpe ratio Market -24.5% 19.5 9.4 7.6 -2.2 Treynor ratio What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) X Answer is complete but not entirely correct. Risk-Free 1% 3 0.2273 x 2 4 2 3.4773 X
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