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A stock Fund produced the following annualized results: Return =17.5% Std Dev=22% Beta =1.05 Tracking Error vs. S&P 500: 3.2% (annualized) Over the same period,
- A stock Fund produced the following annualized results:
- Return =17.5%
- Std Dev=22%
- Beta =1.05
- Tracking Error vs. S&P 500: 3.2% (annualized)
- Over the same period, T-Bills returned 5%; the S&P returned 15% and had a std Dev =25
- The Fund's Information Ratio adjusted for beta is:
- a. 0.781
- b. 0.625
- c. 0.568
- d. 0.60
- e. 1.055
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
11th Edition
1305262999, 1305262997, 035726164X, 978-1305262997
