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An investor uses a core-satellite approach to allocate funds amongst equity managers. The equity manager's active risk, active return, and allocations are shown as follows.

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An investor uses a core-satellite approach to allocate funds amongst equity managers. The equity manager's active risk, active return, and allocations are shown as follows. (10 points) 6. Expected active return Expected active risk Allocation Passive index Enhanced indexing Active manager x Active manager Y Active manager Z 0.00% 1.70% 1 1.90% | 3.30% | 3.90% 0.00% 2.50% 3.00% 5.50% 7 20% 15% 45% 25% 10% 5% a) Describe the investor's core b) Calculate the investor's active return, active risk, and information ratio given the above allocations. Assume that the correlations between the equity managers' active returns are zero

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