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 | –21.8 | % | –41.5 | % | 3 | % |

2012 | 25.1 | 21.2 | 4 | |||

2013 | 14.1 | 14.5 | 2 | |||

2014 | 6.4 | 8.8 | 4 | |||

2015 | –2.22 | –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

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

2011 |
–21.8 |
–41.5 |
3 |

2012 |
25.1 |
21.2 |
4 |

2013 |
14.1 |
14.5 |
2 |

2014 |
6.4 |
8.8 |
4 |

2015 |
–2.22 |
–5.2 |
3 |

Standard Deviation of Fund |
|||

Year (n=5) |
Fund |
(r- avg) |
(r- avg) |

2011 |
–21.8 |
-26.116% |
682.045 |

2012 |
25.1 |
20.784% |
431.974 |

2013 |
14.1 |
9.784% |
95.726 |

2014 |
6.4 |
2.084% |
4.343 |

2015 |
–2.22 |
-6.536% |
42.719 |

Average |
4.316 |
∑(r-avg)2 =1256.807 |

Variance of Fund: = = 251.361

Standard Deviation = = 15.85%

Sharpe Ratio = = = = 0.2723

Standard Deviation of Market |
|||

Year (n=5) |
Market |
(r- avg) |
(r- avg) |

2011 |
–41.5 |
-39.3 |
1544.49 |

2012 |
21.2 |
23.4 |
547.56 |

2013 |
14.5 |
16.7 |
278.89 |

2014 |
8.8 |
11 |
121 |

2015 |
–5.2 |
-3 |
9 |

Average |
-2.2 |
∑(r-avg) |

Variance of Market: = = 500.188

Standard Deviation of Market = = 22.36%

Correlation of Fund with Market = 0.97

Portfolio Beta = = = 0.687

Treynor Ratio = = = 4.3377

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
–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...

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 –23.0 % –43.5 % 3 % 2012 25.1
21.4 5 2013 14.3 15.1 2 2014 6.8 8.8 6 2015 –2.34 –5.2 2 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
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
–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
.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

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...

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