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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 11.5 % 38 % 1.7
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 11.5 | % | 38 | % | 1.7 |
| Y | 10.5 | 33 | 1.3 | ||
| Z | 7.2 | 23 | 0.85 | ||
| Market | 10.9 | 28 | 1 | ||
| Risk-free | 4.6 | 0 | 0 | ||
| Assume that the tracking error of Portfolio X is 7.5 percent. What is the information ratio for Portfolio X? (Round your answer to 4 decimal place.) |
| Information ratio |
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The Evolution Of Finance
Authors: Barbara Guth
1st Edition
1633377261, 978-1633377264
