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A university Endowment Fund is evaluated using Top-Down and Bottom-Up analysis, and against a 40:60 (Bonds:Equity) benchmark. The evaluation used the Fund and Benchmark performance
A university Endowment Fund is evaluated using Top-Down and Bottom-Up analysis, and against a 40:60 (Bonds:Equity) benchmark. The evaluation used the Fund and Benchmark performance over a 10 year period and the results are provided below in annualised terms. Excess Returns and Volatility: Average Excess returns above risk free Volatility Fund 14.3% 25.6% Benchmark 12.9% 16.9% Regression Results: Alpha Standard error (Alpha) Beta Standard Error (Beta) Standard Deviation (Errors) Fund - 1.27% 0.95% 1.7 4.65% 19% Which one of the following statements is incorrect based on the performance of the portfolio against its benchmark? O The portfolio manager had bad luck with their investments O The Alpha from the regression is negative because the tracking error is high. The portfolio generated positive excess returns O The tracking error of the fund is 19% O The Information Ratio of the fund is -0.07 A university Endowment Fund is evaluated using Top-Down and Bottom-Up analysis, and against a 40:60 (Bonds:Equity) benchmark. The evaluation used the Fund and Benchmark performance over a 10 year period and the results are provided below in annualised terms. Excess Returns and Volatility: Average Excess returns above risk free Volatility Fund 14.3% 25.6% Benchmark 12.9% 16.9% Regression Results: Alpha Standard error (Alpha) Beta Standard Error (Beta) Standard Deviation (Errors) Fund - 1.27% 0.95% 1.7 4.65% 19% Which one of the following statements is incorrect based on the performance of the portfolio against its benchmark? O The portfolio manager had bad luck with their investments O The Alpha from the regression is negative because the tracking error is high. The portfolio generated positive excess returns O The tracking error of the fund is 19% O The Information Ratio of the fund is -0.07
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