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 0.97.
| 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 4 decimal places.)
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What are the Sharpe and Treynor ratios for the fund?
Sharpe ratio
Treynor ratio
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