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 Fund Market Risk-Free 2018 -21.8% -41.5% 3% 2019 25.1 2020 14.1 21.2 14.5 4 8.8 2 2021 6.4 2022 -2.22 What are the Sharpe and Treynor ratios for the fund? 4 -5.2 3

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 Fund Market Risk-Free 2018 -21.8% -41.5% 3% 2019 25.1 2020 14.1 21.2 14.5 4 8.8 2 2021 6.4 2022 -2.22 What are the Sharpe and Treynor ratios for the fund? 4 -5.2 3

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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