10 Jan

Following information for a mutual fund, the market index, and the risk-free rate

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Question: Consider the following information for a mutual fund, the market index, and the risk-free rate

Consider the following information for a mutual fund, the market index, and the risk-free rate. You should also know that the return correlation between the fund and the market is .97.

Year                                       Fund                                      Market                                 Risk-Free

2008                                       -14.85%                                -29.5%                                  3%

2009                                       25.1                                        20.0                                        5

2010                                       12.9                                        10.9                                        2

2011                                       7.2                                          8.0                                          5

2012                                       -1.50                                      -3.2                                        3

What are the Sharpe and TREYNOR ratios for the fund? (Do not round intermediate calculations. Round your answer to 4 decimal places.)

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