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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