You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.97.Year2018Fund-18.80%Market-36.50%Risk-Free1%201925.1020.706202013.6013.002202120227.00-1.928.40-4.2062Calculate Jensen's alpha for the fund, as well as its information ratio.Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4decimal places.Jensen's alphaInformation ratio3.72%0.4007

Jensen's Alpha is calculated as:=(Rp-(Rf+Bp*(Rm-Rf) Information ratio is:=Jensen alpha/Standard…

Answered: You have been given the following…

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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