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What is the sharpe ratio for the fund and the benchmark

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Reference no: EM133077467

Problem - The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year:

 

Fund Return

Benchmark Return

Risk-free rate

Year 1

13%

10%

2%

Year 2

10%

10%

2%

Year 3

15%

12%

2%

Year 4

19%

14%

2%

Year 5

32%

26%

2%

Year 6

33%

26%

2%

Year 7

24%

22%

2%

Year 8

22%

20%

2%

Year 9

19%

17%

2%

Year 10

17%

16%

2%

Required -

a. What is the Sharpe ratio for the fund and the benchmark?

b. What is the Treynor ratio for the fund and the benchmark?

c. What is the fund tracking error?

d. What is the beta for the fund?

e. What is Jensen's alpha for the fund?

Reference no: EM133077467

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