Baghiben You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.95.Year2018Fund-15.80%Market-31.50%Risk-Free3%201925.1020.205202013.1011.50220217.602022-1.628.00-3.2053Calculate 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 4decimal places.Jensen's alphaInformation ratio%

Jensen's Alpha and Information Ratio CalculationStep 1: Calculate Excess ReturnsFirst, calculate the…

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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