Consider the following information for a mutual fund, the market index, and the

Question

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.

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

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 –16.40 % –32.5 % 3 % 2009 25.1 20.3 4 2010 13.2 11.8 2 2011 6.2 8.0 5 2012 –1.68 –3.2 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

Explanation / Answer

Consider the following information for a mutual fund, the market index, and the

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