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.)