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Q5: the following data is available relating to the performance of VDV Fund and its benchmark portfolio. The risk-free rate of the return during the
Q5: the following data is available relating to the performance of VDV Fund and its benchmark portfolio. The risk-free rate of the return during the sample period was 2.75%. calculate the information ratio of the VDV Fund.
|
| VDV Fund | Benchmark portfolio |
| Average return | 11.49% | 4.29% |
| Standard deviations of returns | 11.16% | 14.55% |
| Beta | 0.75 | 0.80 |
| Tracking error | 8.96% | |
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