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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

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

FINANCIAL ACCOUNTING
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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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
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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