Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 15.50 % 36.00 % 1.35
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 15.50 | % | 36.00 | % | 1.35 |
| Y | 14.50 | 31.00 | 1.15 | ||
| Z | 7.40 | 21.00 | .60 | ||
| Market | 11.70 | 26.00 | 1.00 | ||
| Risk-free | 7.00 | .00 | .00 | ||
| Assume that the tracking error of Portfolio X is 10.70 percent. What is the information ratio for Portfolio X? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.) |
| Information ratio |
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Professionals Handbook Of Financial Risk Management
Authors: Lev Borodovsky, Marc Lore
1st Edition
0750641118, 978-0750641111
