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 0.95. Year 2018 2019 2020 2021 2022 Fund -23.00% 25.10 14.30 6.88 -2.34 Market -43.50% 21.40 Jensen's alpha Information ratio 15.10 8.80 -5.20 Risk-Free 34 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. %

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
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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 0.95.
Year
2018
2019
2020
2021
2022
Fund
-23.00%
25.10
14.30
6.80
-2.34
Market
-43.50%
21.40
Jensen's alpha
Information ratio
15.10.
8.80
-5.20
Risk-Free
3%
5
2
6
2
Calculate Jensen's alpha for the fund, as well as its information ratio.
Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4
decimal places.
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 0.95. Year 2018 2019 2020 2021 2022 Fund -23.00% 25.10 14.30 6.80 -2.34 Market -43.50% 21.40 Jensen's alpha Information ratio 15.10. 8.80 -5.20 Risk-Free 3% 5 2 6 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.
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