You have been given the following return information for a mutual fund, the markreturn correlation between the fund and the market is 0.97.MarketRisk-FreeFundYear2011-20.6%-39.5%1%201225.121.0313.9201313.920147.68.842015-2.1-5.2What are the Sharpe and Treynor ratios for the fund? (Do not round intermediateplaces.)Sharpe ratioTreynor ratio

Calculation of Sharpe and Treynor ratios for the fund:The sharpe ratio and Treynor ratios are 13.77%…

Answered: You have been given the following…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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