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 -14.85% Market -29.5% Risk-Free 3% 2019 25.1 20.0 5 2020 12.9 10.9 2 2021 7.2 8.0 2022 -1.5 -3.2 5 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
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 -14.85% Market -29.5% Risk-Free 3% 2019 25.1 20.0 5 2020 12.9 10.9 2 2021 7.2 8.0 2022 -1.5 -3.2 5 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
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 6P
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