Return correlation between the fund and the market

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Reference no: EM13751434

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Problem 1:

a. A stock has an annual return of 11.2 percent and a standard deviation of 45 percent. What is the smallest expected gain over the next year with a probability of 1 percent?(Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Problem 2:

Consider the following 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

Fund

Market

Risk-Free








2008

-15.13

%

-25.5

%

2

%

2009

25.1

 

19.6

 

4

 

2010

12.5

 

9.7

 

2

 

2011

6.4

 

7.6

 

4

 

2012

-1.26

 

-2.2

 

3

 


What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.)

Problem 3:

Consider the following 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 0.89.

Year

Fund

Market

Risk-Free








2008

-17.6

%

-34.5

%

2

%

2009

25.1

 

20.5

 

4

 

2010

13.4

 

12.4

 

2

 

2011

6.6

 

8.4

 

5

 

2012

-1.8

 

-4.2

 

3

 


Calculate Jensen's alpha for the fund, as well as its information ratio. (Round your Jensen's alpha answer to 2 decimal places& Information ratioanswer to 4 decimal places. Omit the "%" sign in your response.)

Reference no: EM13751434

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