Question

You have been given the following return information for a mutual fund, the market index, and...

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.)

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