Historical performance information on capital market

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Reference no: EM131064308

You are given the following historical performance information on the capital market and a mutual fund:

Year

Mutual fund beta

Mutual fund return (per cent)

Return on market index (per cent)

Return on Govt. securities (per cent)

1

2

3

4

5

6

7

8

9

10

0.90

0.95

0.95

1.00

1.00

0.90

0.80

0.75

0.75

0.70

- 3.00

1.50

18.00

22.00

10.00

7.00

18.00

24.00

15.00

- 2.00

- 8.50

4.00

14.00

18.50

5.70

1.20

16.00

18.00

10.00

8.00

6.50

6.50

6.00

6.00

5.75

5.75

6.00

5.50

5.50

6.00

Calculate the following risk adjusted return measures for the mutual fund:

1. Reward-to-variability ratio or Sharpe ratio

2. Reward-to-volatility ratio or Treynor ratio.

3. Comment on the mutual fund's performance.

Reference no: EM131064308

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