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You have been given the following return information for a mutual fund, the market index, and...

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Finance

You have been given the following return information for amutual fund, the market index, and the risk-free rate. You alsoknow that the return correlation between the fund and the market is0.97.

YearFundMarketRisk-Free
2011–17.0%–33.5%2%
201225.120.46
201313.312.12
20146.48.05
2015–1.74–3.23

What are the Sharpe and Treynor ratios for the fund? (Donot round intermediate calculations. Round your answers to 4decimal places.)

Answer & Explanation Solved by verified expert
4.1 Ratings (737 Votes)
Let us solve the questionTrust the same will serve your purposeShould you need any clarifications please feel free tocommentThe following are the date inputs in spreadsheet Excess returnover risk free rate Mutual Fund 17100 251100 133100 64100174100 AVERAGEB4B8 EAVERAGEC4C8 EAVERAGED4D8EAVERAGEE4E8 Market Index 335100 204100 121100 810032100 Risk free rate 2100 6100 2100 5100 3100 Year 2011 20122013 2014 2015 Average    See Answer
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You have been given the following return information for amutual fund, the market index, and the risk-free rate. You alsoknow that the return correlation between the fund and the market is0.97.YearFundMarketRisk-Free2011–17.0%–33.5%2%201225.120.46201313.312.1220146.48.052015–1.74–3.23What are the Sharpe and Treynor ratios for the fund? (Donot round intermediate calculations. Round your answers to 4decimal places.)

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