Information for mutual fund and market index

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Reference no: EM13913490

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 .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

Calculate Jensen’s alpha for the fund, as well as its information ratio.

Reference no: EM13913490

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