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 0.97.

Year | Fund | Market | Risk-Free | |||

2011 | –22.4 | % | –42.5 | % | 3 | % |

2012 | 25.1 | 21.3 | 5 | |||

2013 | 14.2 | 14.8 | 2 | |||

2014 | 6.6 | 8.8 | 6 | |||

2015 | –2.28 | –5.2 | 3 | |||

What are the Sharpe and Treynor ratios for the fund? **(Do
not round intermediate calculations. Round your answers to 4
decimal places.)**

Answer #1

Year | Fund | market | risk free | |||

2011 | -22.4 | -42.5 | 3 | |||

2012 | 25.1 | 21.3 | 5 | |||

2013 | 14.2 | 14.8 | 2 | |||

2014 | 6.6 | 8.8 | 6 | |||

2015 | 2.28 | -5.2 | 3 | |||

Mean | 5.156 | -0.56 | 3.8 | |||

Standard Deviation | 17.67234 | 25.40616 | ||||

Correlation between fund and market | 0.97 | |||||

Beta | 0.654483 | |||||

Sharpe Ratio | = (5.156 - 3.8)/17.67234 = | 0.07673 | ||||

Treynor's Ratio | = (5.156 - 3.8)/0.654483 = | 2.071864 | ||||

Note: The above ratios have been calculated based on average returns of fund and market and | ||||||

average risk free rate over the period of five years from 2011 to 2015 |

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
–21.2
%
–40.5
%
2
%
2012
25.1
21.1
4
2013
14.0
14.2
2
2014
6.2
8.8
4
2015
–2.16
–5.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...

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
–21.2
%
–40.5
%
2
%
2012
25.1
21.1
4
2013
14.0
14.2
2
2014
6.2
8.8
4
2015
–2.16
–5.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...

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
–15.06
%
–26.5
%
3
%
2012
25.1
19.7
5
2013
12.6
10.0
2
2014
6.6
7.6
4
2015
–1.32
–2.2
3
What are the Sharpe and Treynor ratios for the fund?

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
–15.06
%
–26.5
%
3
%
2012
25.1
19.7
5
2013
12.6
10.0
2
2014
6.6
7.6
4
2015
–1.32
–2.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...

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?

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
.97.
Year
Fund
Market
Risk-Free
2015
−17.6
%
−34.5
%
2
%
2016
25.1
20.5
4
2017
13.4
12.4
2
2018
6.6
8.4
5
2019
−1.8
−4.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...

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
.97.
Year
Fund
Market
Risk-Free
2015
−16.4
%
−32.5
%
3
%
2016
25.1
20.3
4
2017
13.2
11.8
2
2018
6.2
8.0
5
2019
−1.68
−3.2
3
What are the Sharpe and Treynor ratios for the fund?
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
.97.
Year
Fund
Market
Risk-Free
2015
−18.2
%
−35.5
%
2
%
2016
25.1
20.6
5
2017
13.5
12.7
2
2018
6.8
8.4
6
2019
−1.86
−4.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...

Consider the following 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 .97.
Year
Fund
Market
Risk-Free
2008
–15.2
%
–24.5
%
1
%
2009
25.1
19.5
3
2010
12.4
9.4
2
2011
6.2
7.6
4
2012
–1.2
–2.2
2
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to 4
decimal places.)
Sharpe...

Consider the following 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 .97. Year Fund
Market Risk-Free 2008 –18.20 % –35.5 % 2 % 2009 25.1 20.6 5 2010
13.5 12.7 2 2011 6.8 8.4 6 2012 –1.86 –4.2 3 What are the Sharpe
and Treynor ratios for the fund? (Do not round intermediate
calculations. Round your answers to 4 decimal places.) Sharpe...

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