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. 1ITT Market Risk-Free Year Fund 2011 -21.8% -41.5% 3% 2012 25.1 21.2 4 14.1 2013 14.5 8.8 2014 6.4 4 -2.22 2015 -5.2 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
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. 1ITT Market Risk-Free Year Fund 2011 -21.8% -41.5% 3% 2012 25.1 21.2 4 14.1 2013 14.5 8.8 2014 6.4 4 -2.22 2015 -5.2 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
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
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.
1ITT
Market
Risk-Free
Year
Fund
2011
-21.8%
-41.5%
3%
2012
25.1
21.2
4
14.1
2013
14.5
8.8
2014
6.4
4
-2.22
2015
-5.2
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](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F8e615c75-2a0b-4a42-8159-bcac2309173b%2F9c8268cb-7869-4656-b52b-b88571983a24%2Fr3hjw1p.png&w=3840&q=75)
Transcribed Image Text: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.
1ITT
Market
Risk-Free
Year
Fund
2011
-21.8%
-41.5%
3%
2012
25.1
21.2
4
14.1
2013
14.5
8.8
2014
6.4
4
-2.22
2015
-5.2
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
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