Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 14.00 % 31.00 % 1.35
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 14.00 | % | 31.00 | % | 1.35 |
| Y | 13.00 | 26.00 | 1.10 | ||
| Z | 7.00 | 14.00 | .75 | ||
| Market | 10.20 | 19.00 | 1.00 | ||
| Risk-free | 6.00 | .00 | .00 | ||
| Assume that the tracking error of Portfolio X is 8.60 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.) |
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International Financial Management
Authors: Cheol S. Eun, Bruce G.Resnick
6th Edition
71316973, 978-0071316972, 78034655, 978-0078034657
