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 0.93. Year 2018 Fund -23.60% Market -44.50% Risk-Free 1% k 2019 25.10 21.50 3 2020 14.40 15.40 2 2021 2022 7.00 -2.40 9.20 -6.20 6 2 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. Jensen's alpha Information ratio 3.94 % 0.1830
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 0.93. Year 2018 Fund -23.60% Market -44.50% Risk-Free 1% k 2019 25.10 21.50 3 2020 14.40 15.40 2 2021 2022 7.00 -2.40 9.20 -6.20 6 2 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. Jensen's alpha Information ratio 3.94 % 0.1830
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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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 0.93.
Year
2018
Fund
-23.60%
Market
-44.50%
Risk-Free
1%
k
2019
25.10
21.50
3
2020
14.40
15.40
2
2021
2022
7.00
-2.40
9.20
-6.20
6
2
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.
Jensen's alpha
Information ratio
3.94 %
0.1830
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