FINANCIAL ACCOUNTING
FINANCIAL ACCOUNTING
10th Edition
ISBN: 9781259964947
Author: Libby
Publisher: MCG
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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
Fund
-18.2%
Market
-35.5%
Risk-Free
2%
2019
25.1
20.6
5
2020
13.5
12.7
2
2021
2022
6.8
-1.86
8.4
-4.2
6
3
What are the Sharpe and Treynor ratios for the fund?
Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
Sharpe ratio
Treynor ratio
0.0900
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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 0.97. Year 2018 Fund -18.2% Market -35.5% Risk-Free 2% 2019 25.1 20.6 5 2020 13.5 12.7 2 2021 2022 6.8 -1.86 8.4 -4.2 6 3 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Sharpe ratio Treynor ratio 0.0900
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