Return information for mutual fund and market index

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Reference no: EM131861953

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 0.89. Year Fund Market Risk-Free 2011 –14.92 % –28.50 % 2 % 2012 25.10 19.90 4 2013 12.80 10.60 2 2014 7.00 7.60 5 2015 –1.44 –2.20 2 Calculate Jensen’s alpha for the fund, as well as its information ratio.

Reference no: EM131861953

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