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 themarket is .96.YearFund2015-14.92%Market-28.50%Risk-Free2%201625.1019.90201712.8010.6020187.002019-1.447.60-2.204252Calculate Jensen's alpha for the fund, as well as its informationratio. (Do not round intermediate calculations. Enter the alphaas a percent rounded to 2 decimal places. Round the ratio to 4decimal places.)Jensen's alphaInformation ratio%

Step 1: In order to evaluate the performance of the fund or portfolio, one of the method is Jenson's…

Answered: You have been given the following…

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

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