Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 16.00 % 32.00 % 1.90
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 16.00 | % | 32.00 | % | 1.90 |
| Y | 15.00 | 27.00 | 1.25 | ||
| Z | 7.30 | 17.00 | .75 | ||
| Market | 11.30 | 22.00 | 1.00 | ||
| Risk-free | 5.80 | .00 | .00 | ||
| Assume that the tracking error of Portfolio X is 13.40 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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Financial Management Principles And Applications
Authors: Sheridan Titman, John Martin
14th Global Edition
1292349824, 978-1292349824
