Question

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 0.91.

Year	Fund		Market		Risk-Free
2011	–20.60	%	–39.50	%	1	%
2012	25.10		21.00		3
2013	13.90		13.90		2
2014	7.60		8.80		4
2015	–2.10		–5.20		2

Calculate Jensen’s alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)

Answer 1