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.Year20182019202020212022Fund-15.20%25.1013.007.40-1.56Market-30.50%20.10Jensen's alphaInformation ratio11.208.00-3.20Risk-Free3%4Calculate 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.Answer is not complete.3.77 %

Jensen's alpha is a measure to evaluate the abnormal return of the portfolio above the expected…

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 2018 2019 2020 2021 2022 Fund -15.20% 25.10 13.00 7.40 -1.56 Market -30.50% 20.10 11.20 8.00 -3.20 Jensen's alpha Information ratio 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 decimal places. Risk-Free 3% Answer is not complete. 3.77 %

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 2018 2019 2020 2021 2022 Fund -15.20% 25.10 13.00 7.40 -1.56 Market -30.50% 20.10 11.20 8.00 -3.20 Jensen's alpha Information ratio 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 decimal places. Risk-Free 3% Answer is not complete. 3.77 %

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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