Problem 13-20 Jensen's Alpha (LO1, CFA5)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 0.91.Year20182019202020212022Fund-14.99%25.1012.706.80-1.38Market-27.50%Jensen's alphaInformation ratio19.8010.307.60-2.20Risk-Free1%5243Calculate 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.Extensions%

Introduction:Jensen's alpha is used for calculating the return on a portfolio in excess of its…

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 0.91. Year 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.80 -1.38 Market -27.50% 19.80 10.30 7.60 -2.20 Jensen's alpha Information ratio Risk-Free 1% 5 2 4 3 Calculate 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 4 decimal places. % Extensions

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 0.91. Year 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.80 -1.38 Market -27.50% 19.80 10.30 7.60 -2.20 Jensen's alpha Information ratio Risk-Free 1% 5 2 4 3 Calculate 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 4 decimal places. % Extensions

PFIN (with PFIN Online, 1 term (6 months) Printed Access Card) (New, Engaging Titles from 4LTR Press)

6th Edition

ISBN:9781337117005

Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Chapter13: Investing In Mutual Funds, Etfs, And Real Estate

Section: Chapter Questions

Problem 8FPE

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