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	–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 4 decimal places.)

Sharpe Ratio ______

Treynor Ratio ______

Answer 1