Problem 13-20 Jensen's Alpha (LO1, CFA7)
You have been given the following return 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 0.93.
Tour
Fund Market Risk-Free
2011 -20.00% -38.50% 14
2012 25.10 20.90 1
2013 13.80 13.60 2
2014 7.40 8.40 6
2015 -2.04 -4.20 2
Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a
percent rounded to 2 decimal places. Round the ratio to 4 decimal places.)
Jensen's alpha
Information ratio %