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Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 12 % 33 % 1.95
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 12 | % | 33 | % | 1.95 |
| Y | 11 | 28 | 1.25 | ||
| Z | 7.3 | 18 | 0.6 | ||
| Market | 11.4 | 23 | 1 | ||
| Risk-free | 6.8 | 0 | 0 | ||
| Assume that the tracking error of Portfolio X is 8.8 percent. What is the information ratio for Portfolio X? (Round your answer to 4 decimal place.) |
| Information ratio |
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Principles Of Finance With Excel
Authors: Simon Benninga, Tal Mofkadi
3rd Edition
0190296380, 9780190296384
