Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP P P X 15.5 % 37 % 1.65 Y
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio RP P P
X 15.5 % 37 % 1.65
Y 14.5 32 1.3
Z 8.2 22 0.8
Market 10.8 27 1
Risk-free 6.4 0 0
Assume that the tracking error of Portfolio X is 8.7 percent. What is the information ratio for Portfolio X? (Round your answer to 4 decimal place.)
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