2. Suppose you have the following assets and their characteristic's as below Security ei (%) a(%) 2 Covariance with the market (%) 0 7-3 2 12 2 A B D 2 3 1 4 1 2 1 3 & 13 F Elo Expected Market Return = 10%, variance of market return = 10%, Risk free rate = 5% Using the single index model i) Find the portfolio return and portfolio risk and sharp ratio (assume equal weights). ji) Now suppose your portfolio is managed using value investment style. You are given return of a value index manger of 15% and return of the market of 9%. If you're total active risk is 3 percent annually and "misfit risk is 2 percent annually. What is your information ratio? 2. Suppose you have the following assets and their characteristic's as below Security ei (%) a(%) 2 Covariance with the market (%) 0 7-3 2 12 2 A B D 2 3 1 4 1 2 1 3 & 13 F Elo Expected Market Return = 10%, variance of market return = 10%, Risk free rate = 5% Using the single index model i) Find the portfolio return and portfolio risk and sharp ratio (assume equal weights). ji) Now suppose your portfolio is managed using value investment style. You are given return of a value index manger of 15% and return of the market of 9%. If you're total active risk is 3 percent annually and "misfit risk is 2 percent annually. What is your information ratio