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 | |||
2011 | –17.0 | % | –33.5 | % | 2 | % |
2012 | 25.1 | 20.4 | 6 | |||
2013 | 13.3 | 12.1 | 2 | |||
2014 | 6.4 | 8.0 | 5 | |||
2015 | –1.74 | –3.2 | 3 | |||
What are the Sharpe and Treynor ratios for the fund?
Solution
Cell reference -
Get Answers For Free
Most questions answered within 1 hours.