Return correlation between the fund and the market

Reference no: EM13751434

Read the question and please scan or photo your working, accurate answer only.

Problem 1:

a. A stock has an annual return of 11.2 percent and a standard deviation of 45 percent. What is the smallest expected gain over the next year with a probability of 1 percent?(Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Problem 2:

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 0.95.

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

What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.)

Problem 3:

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 0.89.

Year	Fund		Market		Risk-Free

2008	-17.6	%	-34.5	%	2	%
2009	25.1		20.5		4
2010	13.4		12.4		2
2011	6.6		8.4		5
2012	-1.8		-4.2		3

Calculate Jensen's alpha for the fund, as well as its information ratio. (Round your Jensen's alpha answer to 2 decimal places& Information ratioanswer to 4 decimal places. Omit the "%" sign in your response.)

Reference no: EM13751434

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