You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that thereturn correlation between the fund and the market is 0.97.1ITTMarketRisk-FreeYearFund2011-21.8%-41.5%3%201225.121.2414.1201314.58.820146.44-2.222015-5.2What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimalplaces.)Sharpe ratioTreynor ratio

Calculation of Sharpe and Treynor ratio using excel is as follows:

Answered: You have been given the following…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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