Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P ? P ? P X 14.50 % 35.00
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | ?P | ?P | ||
| X | 14.50 | % | 35.00 | % | 1.30 |
| Y | 13.50 | 30.00 | 1.25 | ||
| Z | 8.40 | 20.00 | .90 | ||
| Market | 11.60 | 25.00 | 1.00 | ||
| Risk-free | 6.00 | .00 | .00 | ||
| Assume that the tracking error of Portfolio X is 9.30 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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Fundamentals Of Futures And Options Markets
Authors: John C. Hull
7th Edition
0136103227, 9780136103226
