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 0.93. Year 2018 Fund -15.06% Market -26.50% Risk-Free 3% 2019 25.10 19.70 5 2020 12.60 10.00 2 2021 6.60 2022 -1.32 7.60 -2.20 4 3 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. Jensen's alpha Information 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
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Bhuptbhai 

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 0.93.
Year
2018
Fund
-15.06%
Market
-26.50%
Risk-Free
3%
2019
25.10
19.70
5
2020
12.60
10.00
2
2021
6.60
2022
-1.32
7.60
-2.20
4
3
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.
Jensen's alpha
Information ratio
%
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 0.93. Year 2018 Fund -15.06% Market -26.50% Risk-Free 3% 2019 25.10 19.70 5 2020 12.60 10.00 2 2021 6.60 2022 -1.32 7.60 -2.20 4 3 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. Jensen's alpha Information ratio %
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