Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

QUESTION 14 Suppose that a fund has an average annual return of 19%. A regression of the fund's returns on the S&P 500 index returns

image text in transcribed
QUESTION 14 Suppose that a fund has an average annual return of 19%. A regression of the fund's returns on the S&P 500 index returns results in a beta of 1.2. In this period, the expected market return has been 13% and the riskless rate is 6%. The fund's information ratio (defined as CAPM alpha divided by return volatility) is 0.15. What is the fund's return volatility? O A 8.36% O B. 30.67% OC 13.14% D. 42.39%

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Modeling

Authors: Simon Benninga, Tal Mofkadi

5th Edition

0262046423, 9780253337825

More Books

Students also viewed these Finance questions