1. Calculate the annualized alpha, tracking error, and information ratio based on the 12 monthly returns below:...

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1. Calculate the annualized alpha, tracking error, and information ratio based on the 12 monthly returns below:

Month Active Return (%)

1 0.37 2 –0.31 3 –0.55 4 0.09 5 0.37 6 –0.05 7 –0.62 8 0.06 9 0.46 10 –0.09 11 0.58 12 0.84

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Equity Valuation And Portfolio Management

ISBN: 9780470929919

1st Edition

Authors: Frank J. Fabozzi, Harry M. Markowitz

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Question Posted: Oct 22, 2024 08:00 AM

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1. Calculate the annualized alpha, tracking error, and information ratio based on the 12 monthly returns below:...

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Equity Valuation And Portfolio Management

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